I can see by your user name that this is an important question to you.
No, it’s intrinsically immoral to play such games. On the one hand, we can appreciate the fight against legitimately false gods, evil people (or other beings, whatever) who have duped people into worship that which is not God.
On the other hand, the subtext (or often non-sub-text) of a lot of JRPGs is the message that we don’t need gods, and that religion is bad. Of course, it would be wrong to play such games because they are anti-religious. If you’re playing these games with the thought of, “Hey, cool! I get to destroy the Church!” then there are problems. On the other hand, these games often have legitimate artistic, entertainment, and (in some circles) cultural value. I still really like FF Tactics for its class and combat systems. But I know enough to accept what is good and reject what is clearly bad. It’s not causing me any spiritual harm.
Think of the movie The Godfather. It’s a movie that that arguably portrays murder, mafia violence, and revenge in at least a somewhat favorable light (but I’m not looking to debate that issue). However, it is still a highly regarded film, and probably worth seeing for other reasons.
Also, one should definitely not avoid all Final Fantasy games. Only X and Tactics have deicide and blasphemy as plot devices (although VII has large swaths of immorality). IV, V, and VI are all extremely morally upright games. IV is a story of redemption and forgiveness as characters must conquer inner darkness and embrace the light. VI is a grand story of human tragedy whose central theme of hope is ultimately realized in the end. V is a silly little game, really, but one about good people who keep striving to do the right thing. I’m looking forward to sharing those games with my son in a couple years, once he’s old enough to appreciate them a bit more (he’s almost two-and-a-half, now).
Sam, the Neon Orange Knight