Scaling not just technically either, it's also the engineers. Most Web engineers have had their minds bent to the request response model with databases.
The key reason is that a game lasts... minutes to hours (ignoring most MMOs), so the state machine makes sense and the risk of failure low. Web devs have to use a database which has state for years.
Plus most games are awful at handling connection issues, you'll be dropped from the game and have to reload the entire map and assets again, often taking 30 seconds or more to rejoin.
I'm not sure we should be taking advice about how to load information on mobile devices with spotty connections from the gaming industry.
The key reason is that a game lasts... minutes to hours (ignoring most MMOs), so the state machine makes sense and the risk of failure low. Web devs have to use a database which has state for years.