Neither have I, yay!
Here is the interview where he talks about never having played it, in case anyone wants to watch it.
Keanu Matrix Interview
Haha, he would have loved Johnny Silverhand to be a canon romantic pursuit. The more hilarious thing is Keanu trying to sell Carrie Ann Moss on people having virtual sex with your digital characters.
Alex Heath: "You were the most requested hack to make a character that you could have sex with, be your character."
Keanu: "Yes!"
Alex: "And it got to a point where the game developer said, 'No, you can't do this, 'cause we're not sure if we have permission to do this.'"
Keanu: "Oh! Oh my God, it's always nice when it's nice."
Alex: "Yeah, it was affection."
Carrie: "I on the other hand say, 'No, thank you.'" (chuckles)
Keanu: "Think of how much money is in porn, right? So you could not even have to be there, and people could have digital sex with your digital avatar. What's that, what's it called right now? For a members-only, you could do a whole thing. Oh my God, and then you get the suit that's probably made in Sweden or some German thing. Oh my God, and then you got the VR thing."
Carrie: "I hope that I do not live to see this."
Keanu: "Oh my God, and then they've got the data on you with your arousal metrics. Oh my gosh!"
Alex: "I did not see this conversation going here, but--"
Keanu: "Right, so then you're in the suit where the arousal metrics through your members-only metaverse X."
Carrie: "God help us, that's all I'm gonna say."