The point of the "show" directive is it's generally better at conveying emotions than telling. That justification is useful for figuring out when telling might be better than showing in a book or film. So approaching video games, we need to ask - do you actually get much more emotional impact from watching a prerecorded cinematic, even if it does "show" instead of "tell"? Final Fantasy IX had an unexpected level of maturity in the direction of its cinematic scenes, but to people who already didn't like Japanese menu-driven cutscene-heavy RPGs there wasn't much more appeal.
When it comes to games, we don't want to show or tell - we want to do.
Do, or do not.
"Show" is boring.
"Show" is boring.
I play a lot of horror games, which is a genre that figured out "show, don't tell" long ago. But Baroque, a horror roguelike, managed to trigger more controller-gripping moments than any of the recent Resident Evil or Silent Hill installments because it does as much as it shows. The player is dropped in a grotesque confusing world and given choices you have no information about - but the character is in exactly the same situation. As the character's abilities and knowledge grow, so does the player's, a narrative feedback loop that complements the Japanese roguelike numerical growth loop. (Awesome graph from John Harris in @Play.) The character's emotions are easily translated to the player because the player is doing something similar to the character. This kind of opportunity is absent from a film, where there's no interaction (in Baroque's case, mostly exploration).
An example from a more mainstream game is James Clinton Howell's analysis of Metal Gear Solid 2. Dense enough I can hardly summarize it, it frames the game's timeline as the relationship between player objectives and avatar objectives. When Raiden is frustrated at his inability to kill Vamp so is the player; when Raiden is naked and powerless the player's choices at each encounter are reduced; when Raiden breaks free of his personal hangups the player's formal abilities change and grow.
How can this actually improve games that already do a good job of "showing"? The romance between Zidane and Garnet, the primary and secondary protagonists in FFIX, is one of the key plot elements. It's told with a surprising amount of subtlety and nuance for an otherwise by-the-numbers Japanese RPG. For most of the game the player identifies with Zidane, and so is meant to feel some degree of romantic longing/attachment for Garnet. But Garnet is a fixed object, and if spunky black-haired princesses aren't your type, that emotion is missing and Zidane remains "that guy I'm watching" rather than "that guy I'm acting as". If the player had some indirect control over Garnet's dialogue and appearance (through in-narrative cues rather than a "girlfriend creator" at the start), the attachment is more likely to stick.