The games menu item is not as flexible as the Pictures, Music and Documents menu items. It seems to be more hardcoded into the system. A few things I noticed:
-Right-clicking on Games in the windows menu doesn't show the same options as the Documents, Pictures, and Music menu items. For example...
customization
default folders
flexibility
game behavior
game exclusions
game management
gamesmenu
gaming providers
installed games
libraries
menu options
navigation pane
software management
start menu
system settings
user experience
user interface
user preferences
windows
