You're assuming that they understood what they were getting themselves into. And you're also assuming that Surgeon did more than just run a game that directly involved them.
The fact that they live their daily lives in these caves with those games is one thing. The fact that there have been others prior to this, piques the interest and makes one wonder what may have happened with the last group. Could it happen to this group? Has there even been a previous group?
And the biggest question: What do the Judges want from us besides these games? Is that all they want? This is something I've actually had a discussion with a Cepheus before. They're very curious about their gods.