What is the meaning of "a sense of failure over never..."

The word over here means: with regard to the subject of, in terms of, concerning, etc.

a sense of failure over [with regard to, about, concerning, on the subject of] never having made it as a professional actor

With words relating to situations, you will often find this word over,

• We had a disagreement over the money she owed me.

• I felt very bad over the situation that had developed.

• He had a sense of failure over the way the situation was handled.

"never having made it as a professional actor" does not mean that he never became a professional actor. It means that he did, but was not successful in that profession. He was always the chap who came on stage carrying a spear but with no words to speak, rather than the man who played Hamlet.