"what's the goal of the Order, or what are the goals of the magi?"
One might as well ask about the goals of any moderately large organization and the people within it; the answers you receive will always be varied, tapered to individual temperament. Even when the organization has a stated goal, the true goals of its movers and shakers may be quite different. You may take the remainder of this message as being prefixed with a very large "IMHO" and "early morning thoughts before caffeine has been imbibed".
Ostensibly, the Order was formed as a society in which magi could safely share what they knew with each other, thereby allowing each to increase his own personal power, and defend themselves from outside attack. Individual magi would all see the Order in different ways; to some, it might be an annoying hindrance, to others it might be the protector which allows them to pursue their studies in peace, to yet others it might be a comforting hierarchy and tradition around which to base their lives... the possibilities are endless. (My own primary Saga character sees the Order as the force which permits magi to pursue their own studies in relative safety, without needing to be troubled by the incursions of mundane life -- safety and convenience in numbers. Being Tytalus, he also sees it as a hierarchy of power around which he can measure his own achievements.)
There are at least three general groupings that one might have for the goals of individual magi.
1. "Pure" quest for knowledge.
A magus with this goal is interested in knowledge for its own
sake. One might compare him with a modern university professor. This
is the stereotypical "lab rat", who seeks to learn more about the
world around him, or the man in search of personal enlightenment or
self-knowledge. Such a person might or might not want to share
knowledge with others. If you're the only person in the world who
knows something, people are forced to go to you to obtain that
knowledge. You can trade that knowledge for other things you want --
vis, books, favors, etc. However, if you don't share your knowledge at
all, then you probably won't get nearly as much recognition. It's thus
to your advantage to teach apprentices who will carry on your works
and your name, after you are gone. The method of learning might vary
widely: experimentation, research, meditation, or exploration of one's
limitations. House stereotypes: Bonisagus, Criamon, Tytalus.
2. Betterment of the world.
A magus with this goal seeks to use magic to better the world about him.
Whether this is simply serving the local Covenant, or serving the Order
as a whole, or attempting to develop things which might benefit even the
mundane world, this magus probably sees magic and the acquisition of
knowledge as stepping stones towards a large goal. Some of those with
this goal might believe that the magi would be better rulers than the
mundanes, and seek to achieve what temporal power they can.
House stereotypes: Guernicus, Jerbiton, Tremere.
3. Personal power.
This magus likes power for the sake of power. Perhaps he likes destroying
things, perhaps he simply likes the feeling of "winning", or maybe he
just likes to be "King of the Hill". He might be satisfied just with
defeating a challenge, or he might like the feeling of being in charge.
He sees magic as a means to an end, though he might enjoy using it for
its own sake. House stereotypes: Flambeau, Tremere, Tytalus.
To answer your individual questions:
If it were power, the magi could have it any day. Why does the Code prevent conflictual interference with the mundane society?
The Code forbids interference which could bring reprisals upon the Order. There's a slight but important difference, there. Fighting off mundanes is tedious, and it's a waste of a magus' time and energy; an action which causes the mundanes to take measures which waste another magus' time and energy is Bad.
By power above I assume you mean political power. Undoubtedly there are a few magi who attempt to quietly manipulate political events, for reasons of their own; the Peripheral Code disallows Hermetic magi as court wizards, though. Political administration is also a tedious thing; some magi might like to play the game for the sake of the game, but there are probably very few who want the work associated with rulership.
If it were Knowledge, then magi would not withold what they know, rather encourage diffusion and copying.
I've already stated some reasons for this above. Also note that magi, like typical people, can be selfish. It's quite possible to greatly value knowledge and yet have no desire whatsoever to share it with the rest of the world.
... which means the 'head honchos' of the Order think the battle [against the Dominion] is already lost [...] Then, why do magi continue to study and train apprentices?
"already lost", but when? This century? Five centuries from now? Certainly there must be many who believe that the Order has a fighting chance. But people need goals, and most magi would, I think, regard their individual accomplishments as at least as important as the accomplishments of the Order; people are most often interested in their personal legacy, which may have little to nothing to do with the future of their affiliations.
Why no sorceror-kings?
Because at some point in time, if you want to play in a historical paradigm, you have to pick the parts of history that you want to keep. You could, of course, sit down and write an alternative history of Europe, factoring the achievements of great wizards, if you so desire.
One could handwave the lack of sorceror-kings and the like by something like the following: before Bonisagus' theory of magic, there was no single consistent way to represent magic which was not highly specific to a single thing. The Founders, one might note, were, by and large, highly specialized magi with unique ways of looking at the Arts. Acquiring knowledge about magic also takes practice and time; without a longevity potion, this might be more time than one has to live. On top of that, acquiring political power also takes time, and requires that the circumstances be right. This combination of factors makes it entirely possible that no such rulers would ever emerge.
This is getting long, and I'm rambling, so I'll stop now...