Also gambling between two people - though one party loses the exact amount the other person gains, the time spent to place the bet and to watch the result costs time. One could argue they both gained utility in terms of enjoyment, but in terms of wealth and GDP the transaction is negative-sum.
By this logic any entertainment-related transactions are zero-sum. People gain utility by being entertained, sometimes you can even objectively measure it, e.g. higher productivity after holidays.
Note that you've made the leap from "may be" to "must be".
There are numerous highly persistent behaviors, including play, entertainment, sleep, drugs consumption, recreational physical activity in excess of all training response stimulus requirements, etc., which nonetheless continue.
While I'm not certain that all are beneficial, and I have a difficult time myself accepting certain of these, I suspect they play a useful and possibly even vital psychological role for those undertaking them.
Even explaining these as coping mechanisms for underlying pathologies isn't particularly satisfying.