A non-trivial amount of the game is still on the CPU. All game logic is on the CPU. AI, physics, networking, audio, etc... are all CPU as well (GPU physics never really happened beyond particle effects).
Even for rendering it's still the CPU preparing the commands and doing a first-pass curation to minimize rendering load.
That said, in this case it's not so much running the games better, as yes the GPU is usually the bottleneck. It's more for gamers that also stream or similar, which is an increasingly popular thing. You can GPU offload it, but that hurts your game performance and GPU encoding quality tends to be relatively fixed and relatively poor. CPU encoding is more flexible and higher quality, and if you've got an extra 8 cores sitting around idle anyway might as well use those instead of eating into the GPU power budget.
Also you've got the PCI-E lanes to run things like SLI or multi-GPU along with RAID NVME drives. Threadripper has 60 lanes. Something like an i7-8700k only has 16 PCI-E lanes - you can't even run a single GPU and an NVME drive without multiplexing your PCI-E lanes.