Any security software will have some affect on your pc performance. The program will have ot inspect every connection to determine whether or not there is malicious traffic. Now as for noticing the degradation in performance from day to day activities is a different question. For games, im sure your fr will drop but as most games are synced with the refresh rate of your monitor, you should be fine as long as it doesn't drop below 50 or so.
And yes, you will probably have ot create some rule letting the games traffic through the web filter.
Hopefully that has helped.