Everything is like that. You buy a CD, DVD, record album, painting, concert ticket, movie ticket, whatever it is, you don’t own the artwork, the creator retains the rights to the artwork, you just own a limited license to view it. You can’t go put on your own concert or show using that license without consulting the owner. You can’t create derivative works without consulting the owner. You can’t make copies without consulting the owner.

It’s not just video games, that’s just how copyright works.