I agree. I'm looking for ways to get this sort of thing into any course I teach, and since there's a nontrivial chance that I'll teach game theory at some point in the future, where it fits best is a good thing to know.

In the class I taught previously and the class I'm teaching right now, I make a point to tell my students that whatever we're doing is a model and is almost certainly wrong in some way, but that's ok because it's close enough to be useful often enough. Both are stat classes, well one is econometrics, but that's a distinction of mere words mostly.