Absolutely, but that does not mean keeping games that are above their age bracket away from them.
My parents monitored my gaming, and yet they still allowed me to play games like Tomb Raider when I was only eight. They kept an eye on the whole picture, and saw that Tomb Raider was only a tiny facet of my gaming as a whole, and I was far more focused on Pokemon, Crash Bandicoot, Final Fantasy etc. My parents both tried gaming, and my father probably would have gotten into it if he'd had more time. (Now he has an iPad and over the last month has spent more time gaming than I have)
It's the same as anything. My parents let me see 12 and 15 and even 18 rated movies when I was young, after they had seen the movies and knew that I was mature enough to handle the topics within. They let me read whatever I wanted, as long as they knew what it was first. They engaged with me about gaming, and once they'd made sure I understood the difference between tiny pixels exploding and real humans who I shouldn't try and kill they were perfectly happy.
Parents should monitor nearly everything a child does, their playtime, their education, their friends. As long as they don't then try and control every aspect of their child's life then it isn't a problem.