iPad

Not bad, but not good in the long-term, either.

Lithium ion/polymer batteries have a finite amount of charging cycles.

Playing heavy games on an iPad will only heat up the iPad more, if being played while connected to power, as you are both heating up all of the internal components as well as heating up the internal battery as it is being charged/discharged at the same time.

Playing very intense games on any mobile device is going to be a challenge for the device.

It is what it is.

Just use your IPad Pro and let do what it is going to do.

You might want to consider doing a few things to help preserve your battery life, like keeping the screen brightness down to start.

Make sure, background apps are not updating data in the background from the Internet by either going into the Settings app under General and toggling OFF Background App Refresh globally for the entire iPad or just for selective apps that use the Web and constantly go out to the Web to update their data.

In the Settings app, under Mail settings, set the Mail app to fetch mail less often or to just manually fetch Mail when you initially make the Mail app an active app.

Set up fewer app notifications and toggle OFF notifications for apps that really need no notifications, at all!

That is a good start to helping your iPad Pro's battery life.

Best of Luck to You!

Playing CPU intensive games is not, of itself, bad for the battery. That said, the more often that you charge your battery, the quicker you will reach the eventual and inevitable end-of-life of the battery.

All rechargeable batteries have a limited lifespan. If you are able to connect your iPad to external power whilst in-use, you will delay battery ageing effects caused by recharging.