I don’t trust in any Windows Application at all, but I think this doesn’t mean I need to live under a rock. This is the reason because I open this Post. So thank you for you help and your time :) You are very cool.
I think is a good option play videogames in a Virtual Machine when is possible. But I just want to feel “more secure” when I need to play in my host machine, for example, using sandboxing.