那个游戏贵。should be an acceptable answer. The question didn't say it was very expensive, just expensive.
This is very unnatural. Nobody just say "贵" without "很".
Actually we seldom use adjectives without any adverbs. This is an interesting difference between Chinese and other languages.
Yes, I thought the same. On the other hand, having taken lessons from a native Mandarin-speaking teacher many years ago, I cannot recall her ever saying that anything was simply "贵". If things were expensive, they were always "很贵".