The answers here are great, and this one won’t be better, but there is a point that hasn’t been addressed in any of them and can be pertinent to this conversation:
Because Bob's copy of the game is indistinguishable from Alice's original copy, why would anybody buy the game from Alice when they could just get it from Bob? Or copy it from a friend?
Sometimes, they might do this, because they want to give Alice money for the game she made. This is, in fact, extremely common—most of the projects on Kickstarter are predicated upon it, since generally speaking the “rewards” you receive for contributing are pretty clearly not really worth their cost (and that’s before we even get into the risk of the project going uncompleted).
It’s also a common facet of tabletop roleplaying games, which is where I have the most experience with it (I’ve done some freelance work in the field). The overwhelming majority of most games can be gotten freely, legally, on websites. Much of the industry uses the “Open Game License” for their work, at least as far as the game rules are concerned, and the OGL is more-or-less what it says it is.¹ There are still companies selling those products, and there are still people buying them, because people want to support those companies and see more of those products get made.
The sold versions may have some perks—artwork, usually, since that’s basically never licensed under the OGL—but the books can be quite expensive,² and the meat of them is freely and legally available, and they’re certainly widely pirated if you really want those perks, and people still pay for them. I did work for one company which even did quite a bit of social-media style outreach on 4chan, a notable hive of scum and villainy that included links to pirated copies of the company’s work at the top of each (relevant) discussion. They got sales from 4chan, despite the fact that it was literally easier to download the pirated copy than it was the paid-for copy (the company’s online store sucked).
So it can be possible to have a “free as in speech” product that is nonetheless not “free as in beer.” That product will almost-certainly also be available “free as in beer” elsewhere (assuming it’s popular enough), but people may still be willing to pay for it just to support the creators. This can be generosity, a sense of gratitude or reciprocity or appreciation, or even selfish if it’s believed to be necessary to get more content from the creators.
I am not a lawyer and not super “up” on open-source licenses, so I don’t know if there might be some snags in it that are considered non-open. It’s not copy-left, either, though in practice very few people have tried to create things licensed off of the OGL without licensing the new material under the OGL as well—in fact, I’m not aware of a single case of that.
Though not nearly expensive enough to cover the cost of making them to any degree of quality, if you’re not one of the few big names—and, I suspect, often even if you are: there is really very little money in the industry.