Yes, it is dangerous, but there's not really anything you as an end user can do about it if you want to use this software (the fact that tech support considers this 'normal' means it's a known issue on their end which hasn't been addressed by the development team, so no amount of you complaining is likely to change anything).
If the game itself has to run with admin privileges and there's no way around it, then that's a red flag and you should be avoiding it (no matter how popular it is), because that usually means it's using a rootkit or similar technology to deal with cheaters (which is in and of itself a questionable but moderately standard practice) or that there's an design problem with the software itself that the company does not want to fix (an MMO I used to play had the second issue, the client created a folder directly under C:\ at runtime for storing temporary files, and as a result you either had to have things set up just right or run the game as an admin to make it work).
If it's just the installer having to run with admin privileges, I wouldn't be too worried. Most installers need this to some extent, although it is reasonably unusual for one to have to be manually run it as administrator (though not unheard of, the primary software product of the company I work for is like this, largely because it does a few things that regular UAC elevation won't allow).
