This seems to be a common problem with this symbol (http://sourceforge.net/p/texstudio/bugs/716/), and the symbol used by MPL doesn't agree with LaTeX. If we do

import matplotlib.pyplot as plt
plt.title('$\Game$')
plt.savefig('fig.png')

we get

while the character should be rendered as

It seems the issue is that you are using the unicode character here, and the unicode character doesn't agree with LaTeX.

according to http://www.tex.ac.uk/tex-archive/info/symbols/comprehensive/symbols-a4.pdf