If you assume "they" refers to the titular "women", it's misleading.
In hindsight, you can see that "they" isn't referring to the comically generalized women's voice on the subject, but instead to.....people that say games aren't art, of which a few examples are mentioned.
Why did he cut her off there? Oh I see it's talking to women about videogames.. not women talk about videogames. He does that very good, still I'm curious what she was going to say about art. She didn't exactly say what hawkey said right?
^Because she may have been told to say yes, and didn't have an opinion on it to share at all. That's why these are funny, they're just comedic takes on some aspects of video games.