Video games can definitely have a sort of practical purpose, not to send specific intended messages but look at life or various themes from different and pertinent perspectives. The most useful ones would be simulators that actually leave some meaningful mark on the player. Compared to movies where you just watch and possibly think of the implications their story may pose, games could to a manner make the player experience the whole thing, and if choices are involved, they somewhat bring some realism in by letting the gamer enjoy more.
Long story short, video games should definitely be educative and not simply no brainer time eaters.
An example of smart game would be the Legacy of Kain series, well mostly the first and second Soul Reaver games which follow a puzzle oriented action gameplay and strong existential theme story up until the second was plagued by lame geek programmer minded influences. I'm sorry for Amy Hennig for that since she really tried to incorporate that crap into the fold. Must have been hurtful.
Another one could be the old Tomb Raider games which are also action puzzle and adventure based but don't really have a story. Regardless, train reflexes and problem solving to some extent.
But maybe better ones, depending on perspective, could be the Sid Meier, Chris Sawyer or Will Wright series of business development and city building and management, among others.