In a game of tennis (singles), are there any strategies where players lose a point (and thereby, a game) voluntarily so that it benefits them in the long run - like say, a serving first on the next set if it is going to be an uphill task to come back and win the current set or say, the advantage of serving from a different side as part of the new set?
As a tennis player (and competitor), I'll first and foremost say that no professional Tennis player will ever admittedly throw a game.
Throwing a point is never beneficial, and throwing a game early in the set is likewise worthless. That being said, the only time it would be "strategic" to throw a game is if you were down 2 breaks (essentially 5-1) in a set and knew you would be better served physically and psychologically by starting a new set and conserving energy. The problem here is that it would only be a benefit if you maintained your lead in sets, e.g. went from 2-0 to 2-1, which would mean this would be a Grand Slam event, which only further fuels the motivation to not throw the set at all. In Masters series events or other "best of 3 sets", losing a set is always a bad thing as your opponent will have momentum going into their potential final set.
To add to Devin's answer - sometimes professional players will also be happy with the result of a point even if they don't win the point. For example, Andre Agassi was well known for running his opponents ragged. By the 2nd or 3rd set his opponents would be so tired from Agassi's shots running them back and forth that it made it much easier for Andre to close out the match by being the fresher player at the end. His 2005 U.S. Open QuarterFinal match against James Blake is a good example of that style of play. Some players know their opponents don't have the best endurance so they will throw in more drop shots knowing they might not win the point, but the goal is more to tire out the opponent than win the point.
Generally there isn't too much advantage you can take in tennis other than perhaps serving first and getting (and maintaining) a lead. So if you are confident you can hold serve and can serve first, it is generally a good strategy. Keep in mind that tennis rules try to make all things as equal as possible in a match - changing sides of the court, switching which side you serve from each point, new balls after 9 games, tie-break rules and lines people all contribute to that fairness.
It wouldn't be beneficial to throw any points or lose in any game except gambling.In gambling you lose your first game to show the other that you are a weak competitor and motivate the other to put all the money in next round and just showing your ability you would win.