click on the first picture to make it bigger, other wise you cannot see the pixels
But in game its running in full-screen so then you can se them very clearly
As superflip mentioned, that option is for the stand-alone player. To enable AA for Blender’s viewport (and in turn the embedded player), look under the System settings in the User Preferences (listed as MultiSample). Note, that AA in the viewport can sometimes lead to picking/selection issues, which is why it is disabled by default.
Export as standalone using save game as runtime addon. Than run that to test the standalone version of game. If you set the anti-aliasing, it will look good in that runtime…