I also prefer playing games with lights. My eyes also gets easily dry or tired for some reason. It also feels a lot more comfortable when playing games when there are lights around. It is just probably just because we are not used to it or we just aren't comfortable in our position or location in the house. There are also times that it feels cooler to play with the lights off but it still strains my eyes too.
I think lights are always better. Because working in no lights or less lights is bad for your health. And in such context it can get pretty difficult for eyes. So make sure to play or read in the lights. That's what you should be doing.