You are presumably accessing an online gaming website, using a web browser - as opposed to using an game App that is actually installed on your iPad.
The warning that you see is a privacy warning - intended to warn and protect you from security exploits that are commonly deployed by threat actors via unscrupulous websites. The best advice might be to avoid accessing websites where you see this warning - as you may be unknowingly the victim of attempted fraud.
Otherwise, assuming that the gaming site is not malicious (which will perhaps be difficult for you to establish yourself), try using a different web browser App; if you are using Safari, maybe try using Firefox or Chrome. Do you see the same issue? If so, my previous advice stands.
A further option is to search the Apple App Store for a gaming App - as many bona-fide online gaming sites have a corresponding App available from the App Store.