They can!
Movies are also supposed to be for entertainment only (at least the fictional one) but they have been known to forge opinions and "convey knowledge" of lands/history/people - they are the ones that have the most effect on us (from the entertainment industry)
I don't really understand the concept of preachy - you are the director/producer and you are presenting an idea supported by visuals in a form of a game to the public, they either like it or not. When they view your idea they have to consider what you may have wanted to convey and/or why the characters make such choices, in the context of their own experience.
Some people think that the Matrix is preachy, so I wouldn't worry about it
My advise would be, if you are interested in doing such a project - make sure that a game is story driven and make sure to make the locations/environment stand out.
This wouldn't necessarily bring to change, but it may make people aware of a message or an event, if they are interested enough, they can look further into it (remember, they may not be aware such a thing exist at all) and at some point they will have to make a choice.
When I play video games for a while, I get reminded by it for a long time when I do something..just like how meditation makes you mindful. So if this is the case for most of us, I thought, why not use this effect in a positive way. Like not trashing the surroundings, taking care of leaky taps, unused lamps..like that, taking care of them in auto pilot mode.