I've been using FLP for quite some years now on a thin client running 24/7, although not for gaming. For me the driving factor to try them was the thin client's small storage. FLP's size is something like 1/4 or 1/5 of a normal & updated XP installation.
Yes they are modern enough (so not like 2000), yes they are a bit lighter (just a tiny bit though) and finally yes, they do lack a lot of stuff. From the simplest things like the ping command, to the "compatibility" tab -since you mentioned retro gaming, to the tricks required just to install .NET Framework 3.5.
So bottom line if you don't have specific reasons (low storage or low memory to the point were XP can't run at all), don't prefer FLP over normal XP. The more generic use you want to put them to, the more problems you'll face. And all this for a slightly improved responsiveness, which I'm not even sure you'll continue to experience if you start installing stuff.