They don't, but I believe that the vast majority of the time people use "fun" to talk about games, they actually just mean engaging.
But, that being said, there's an often unexplored part of this discussion, that is the inherent enjoyment that comes from interacting with game mechanics. So, for example, The Last of Us made combat a lot more brutal in order to sell how unforgiving that world was. Uncharted's more pulpy action was reflected in the enemies' hit reactions and stuff like that, but in The Last of Us you really feel each shot. However, there's just an undeniable pleasure in having good feedback for each button press. So when you hit a headshot, chunks fly off, the controller vibrates, the aim reticle changes and all of that, it feels good.
They wanted to show brutality, and they did, but with that came enjoyment as well. The only way to counter that would be to make it feel bad on purpose, but the problem then becomes the fact that it feels bad, due to the constant active engagement that goes on for many more hours than a movie. If a game feels bad to play, it won't make you reflect on that, it will just make you less likely to finish it. A movie that's hard to watch doesn't take any more actual effort than one that isn't. Maybe time will feel like it goes by slowly or something like that, but you're still sitting on your ass for two hours. Active feedback for 15 hours is different.
