That is called SM, and it has nothing to do with fantasy at all; that is called imagination or filthy mind, Sonny. You are bloody delusional if you consider that fantasy. Drugwars would be fantasy too. Anything "remotely far fetched" would be fantasy in your book.
Let me quote wikipedia:
Emphasis mine.Fantasy is a genre of fiction that commonly uses magic and other supernatural phenomena as a primary element of plot, theme, or setting. Many works within the genre take place in imaginary worlds where magic is common. Fantasy is generally distinguished from the genres of science fiction and horror by the expectation that it steers clear of scientific and macabre themes, respectively, though there is a great deal of overlap between the three, all of which are subgenres of speculative fiction.
In popular culture, the genre of fantasy is dominated by its medievalist form, especially since the worldwide success of The Lord of the Rings and related books by J. R. R. Tolkien. Fantasy has also included fairy tales, wizards, sorcerers, or witchcraft, (etc.), in events which avoid horror. In its broadest sense, however, fantasy comprises works by many writers, artists, filmmakers, and musicians, from ancient myths and legends to many recent works embraced by a wide audience today.
Fantasy is a vibrant area of academic study in a number of disciplines (English, cultural studies, comparative literature, history, medieval studies). Work in this area ranges widely, from the structuralist theory of Tzvetan Todorov, which emphasizes the fantastic as a liminal space, to work on the connections (political, historical, literary) between medievalism and popular culture.
Take note of the bold part in: "[...] magic and other supernatural phenomena as a primary element of plot, theme, or setting". In other words just because there is "magic and other supernatural phenomena" doesn't make a piece of art fantasy. It has to be the primary element of plot, theme, or setting.
Just because you took your knight with voodoo mask from your medieval LEGO onto your science fiction moon setting doesn't suddenly make your moon setting become fantasy. At best, it makes your moon setting become science fiction with a minor medieval element. Medieval != fantasy either.
This game doesn't have a fantasy setting at all. It takes place in real-life cities, not in the bloody Shire. The only thing which remotely resembles fantasy setting is the mystery around secret societies, but I find that too far fetched to call it fantasy. I don't think we can call the genre science fiction either. Neither genres give enough weight to the conspiracy aspect of the game.
And yes, even though I have not played the game I know enough about the genre, and MMOs, to warrant my WoW comment as well as my fantasy setting comment. There's this thing called Youtube where you can watch gameplay before you decide to sign up or buy a game.
FYI: the correct term to describe the genre we're discussing is mystery. An example of a mystery novel is The Da Vinci Code. Go to your local library and try to find The Da Vinci Code in the fantasy section. You won't find it. Thank you for trying!