that is not an error.
And if you had read the README, you would knew it!
The gams is testing for a XiG extension, which is used, to change the resolution of the X of XiG. If have not XiG's X installed, you have not the extension.
This is not an error, XFree86 does not have and does not need this extension. This is only important, if you try to play the game on XiG, and then you are in the wrong forum.