It mostly depends on what paradigm you are using. They seem to use the P300 response (your brain's response to an "anticipated surprise") which indeed benefits

It mostly depends on what paradigm you are using. They seem to use the P300 response (your brain's response to an "anticipated surprise") which indeed benefits quite a lot from additional sensors because the response can be found all over the brain. If they were using motor imagery then you only need electrodes on the sensory-motor cortex. First concern is cost, additional sensors of good quality are expensive (for example, a single g.Tec dry electrode costs about 100 euros). If you use gel electrodes (which are vastly superior to dry electrodes) then you add preparation time. One of the biggest hurdles of EEG for games is practicality. People were annoyed when they had to spend a few seconds calibrating their Kinect, now imagine you would have to spend 5-15 minutes donning and calibrating the system each time you wished to play.