I think i believe CA's comment on fatigue. It's true that fatigue is not very obvious at the beginning of the game, especially on light units. Fatigue only becomes more obvious when heavy or armored units are used.
Unfortunately, since there is no time limit in the very hard mode, all you have to do is rest your soldier until they regain strength because AI will not attack you unless they are clearly superior or on attack. Therefore I don't think that units should be allowed to completely restore their stamina after marching and they should at least loose some of them if they have been in the field for a while, like MTW.
Or AI should be able to take advantage of the fatigue on your units by attacking you after you march, not allowing you sit on your ass until your unit staminas are restored.
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