ELI5 request: "how bad" is it to play a Windows based game inside a VM on a free OS?

https://www.gnu.org/philosophy/nonfree-games.html

However, if you're going to use these games, you're better off using them on GNU/Linux rather than on Microsoft Windows. At least you avoid the harm to your freedom that Windows would do.

Thank you, good points :)

Use Wine if you can. Windows is proprietary, and running it in a VM doesn't make it any less proprietary. You'll still be using software that you can't study, modify, or share.

Is it possible to do a complete Windows installation without internet connection? If the user then - as suggested - only plays offline games, privacy concerns would be even smaller.

But completely free games would surely be the best. There are some threads about it, e.g. https://trisquel.info/en/forum/list-free-freedom-software-games

"Giving up your freedom" is what needs to be defined.
There are 4 freedoms. I don't even really know them by rote, but very roughly, it's about doing whatever you want with programs on your machine (using, modifying, sharing...).
https://www.gnu.org/philosophy/free-sw.en.html
Then there is the idea of privacy/anonymity, which is a natural consequence of the 4 freedoms. Being able to analyse a program makes it much less likely to spy on you, like this: https://www.gnu.org/proprietary/proprietary.html#TOC.
So by definition, playing Windows games (so non libre) takes most of these freedoms away (specially the privacy part), besides mods and things like that, and illegal sharing.

Although I really stand for software freedom as a necessity in terms of privacy, but also because it's pretty cool (and actually useful) to be able to modify/share a program without restrictions,
I still do play Windows (non libre) games.
With mixed results,
I tried plain old Wine + Firejail.
Some games just don't work (I tried HARD).
I even tried the "play.it" script from debian contrib.
But I grew tired of the painful installation process (play.it aside, but not everything works), and of games I couldn't install properly (yeah, that's what I was saying).
Also, I felt a bit uncomfortable mixing my personal data with bits of non-free programs (although old).

My solution ?
I physically isolated Windows games on a separated machine. I treat it like a gaming console, so it has very little personal data.
I keep an internet connection to make some updates (but it's mostly deactivated).
I don't play recent games, at least non that require a powerful GPU, so budget-wise, it's doable.