Kaspersky, as an anti-virus, is embedded into the OS, so it could potentially compromise the system it's installed on.
GOG has a
collection of vulnerability issues that allows for example to escalate the privilege of executed code, or to modify and restart the Galaxy service to compromise a computer too. This could come typically from a game on that platform. Steam has security issues as well, like the old buffer overflow attack.
Of course, people don't often install games on their business systems so the risk is lower than an anti-virus. But they often connect to their work place from home, especially after these last two years.
If the government puts pressure on a Russian game developer to add malicious code and update their game through those platforms, they could use that to do some damage or to collect information.
At this point, perhaps any software coming from Russia could be considered harmful and potentially banned, if we follow this reasoning. Not only anti-virus programs.