Is it intentional that the ads for gaming questions are show on Gaming.SE itself? I'm not seeing the benefit of that, so is this a bug or a feature?
Not ideal, but probably not really harmful enough to fix, since there are a lot of sites in rotation there.
All sites get shown on all sites when it comes to the Stack Exchange ads.
For what it's worth, it's not guaranteed that you'll necessarily see that question while you're on the site. Your example snapshot, for example, that's a question that's not immediately visible (though I imagine a slight bit of scrolling would change that). It thus isn't entirely redundant, and at times can be more useful to the site's audience to see questions they might have missed.