One is the interactivity. Outside of Telltale games, most games have, like, variance and strategy to their gameplay. You aren't watching a movie, you're watching a specific performance of a gameplay system. The person you're watching might handle equipment differently, or they may take out enemies in a different order, they might take damage accidentally in a place where not everybody does, etc.
Two, even with commentary, the viewership drops off pretty hard after, say, the first episode. Let's take for example Game Grumps playing through The Legend of Zelda: Twilight Princess. They've been posting one episode of that daily (give or take).
Episode 1 received over one million views. By Episode 5, that number dropped to 500k. The latest episodes are barely passing 150k. So already, we're talking one fifth of their audience even watched that first video, and 44 episodes in, they've lost roughly 90% of their viewership. The number of people who watch an entire game all the way to completion is a lot lower than you think.
And those numbers are even worse when you subtract commentary from that equation.
I have my own Youtube channel, about to pass a very modest 19k subscribers, and a few years ago
I put up a five-hour video of the Xbox 360 SSX game (it was an impromptu stream and I didn't intend on doing the whole game in a single sitting, but that's how it worked out). I can tell you definitively by looking at my Youtube analytics for that video that most people who find it usually stick around for the first 10 minutes and then click around to later parts of the video before bailing out entirely.
This is one of those things where by the letter of the law it's probably illegal (after all, game discs still say "unauthorized performance or broadcast is in violation of applicable laws"), but the amount of effort to put a stop to it greatly outweighs whatever minor benefits they get from what is essentially free advertising.