You can workaround this problem, maybe, addind the games to the Exclusion Lists for a while.
For the Standard Shield provider (on-access scanning):
Left click the 'a' blue icon, click on the provider icon at left and then Customize.
Go to Advanced tab and click on Add button...
For the other providers (on-demmand scanning):
Right click the 'a' blue icon, click Program Settings.
Go to Exclusions tab and click on Add button...
You can use wildcards like * and ?.
But be carefull, you should 'exclude' that many files that let your system in danger.
Either, on Troubleshooting tab of settings you can disable the messages over 'full-screen' applications.
Did you try do disable WebShield and see what you get?