What you do with any of the extras that come in video game boxes is a topic of some debate. Some are quite cool, but ultimatly impractical. I chalk the MJ glove up there with those. I also tend to agree that the warning was probably a bit much.
That said, I'm still disturbed that there is a market for this game. I understand MJ had a lot of fans, but at the same time this is a guy who dangled a baby out the window, and settled on multiple child molestation charges for so much money that any innocent person would logically have been fighting if they were really innocent. Not to mention that during investigations they found that the guy really did have a pervo-throne room set up behind a secret door, security cameras outside his bed room, and other things.
I have nothing against his music (especially the early stuff), but when it comes to people wearing his glove, and acting out being him in a video game... I dunno, to me that strikes me as being just plain wrong given the things we know. It seems like his death has erased all of the things that were catching up with him, and somehow restored his image.
Opinions vary, but I'll be honest in saying that while I was once a fan, right now MJ is one of those celebrities that I think should stay comfortably buried (so to speak).