What was the message of the Mona Lisa? Or is that not art, Zero?
If you've played a game that intended to be more than SHOOTAN GAME, then you've probably experienced a game with a message. If you want to look only at games like Gears of War, Grand Theft Auto, and Dead Rising, of course you're going to end up having a difficult time finding anything in there that's more than about action. You're playing a bleeding action game, good luck finding a deeper message in Die Hard.
And heck, the black square itself isn't a message about the cross. It was the event of placing it that had the message. If I throw up a quarter onto the steeple of a roof and ask people to worship it, the art of what I'm doing isn't kept in the quarter when I bring it back down.
I don't know what's worse, shallow gamers or pretentious artists.