It wasn't simply because the organizations loved MMORPGs; instead members of the groups created game characters in order to spy on fellow gamers, with the thinking being that terrorists could blend in with "legitimate" players and use the communication resources of such games to plan attacks or even transfer funds.
Notably, the NSA document, titled Exploiting Terrorist Use of Games & Virtual Environments, was written in 2008; it is unclear if the organizations continue to monitor gaming worlds with the same fervor they had back then. In fact, agencies were so actively engaged in monitoring that a "deconfliction" group was created to ensure agents weren't interfering with each other's activities.
While a GCHQ document, also dating back to 2008, claimed the agency was "successfully (been) able to get the discussions between different game players on Xbox Live," the documents do not indicate if the surveillance ever foiled any terrorist plot. There is also no clear evidence that the agencies discovered any terrorist organizations using the virtual worlds to communicate, as the intelligence agencies felt they would.
In addition to virtually wandering the halls of online video games, the agencies also used open-source packet-sniffing software to mine for data using parsing scripts provided by the GCHQ. The leaked document reads, "These logs are now being forwarded to GCHQ for additional analysis, target development, and network knowledge enrichment." The document continues, noting that the GCHQ had uncovered potential Signals Intelligence by "identifying accounts, characters, and guilds related to Islamic extremist groups, nuclear proliferation, and arms dealing."
The documents also show that, although the App Store was not yet open (Apple did not open it until July 9, 2008), the agencies were interested in mobile gaming as another potential gold mine of information. However, it appears the agencies were waiting for the mobile gaming market to become more popular before considering action.
Again, it is unclear if the agencies ever moved forward with that aspect of surveillance, either.