Latency, honestly
Routing through a server usually adds a few milliseconds. It can reduce latency when your provider's default route to a game server is inefficient and ours is more direct, but that is a specific situation, not a rule.
Where it genuinely helps
Your home IP address stays hidden, which matters in games where addresses leak to other players and denial-of-service attacks follow. Some providers also throttle game traffic; a tunnel hides the traffic type.
Console play
Consoles cannot run a VPN app. Putting the tunnel on your router — planned, with guides coming — covers the console along with everything else on the network.