Do pilots have their own in-flight entertainment?
I am not aware of any legal requirements, but rules may differ according to the country of jurisdiction. 

Generally it is up to the company that a pilot works for to establish their own rules to cover "in-flight entertainment" in the flight deck. Most companies do not allow it. It has been my experience that the rules are generally ignored and common sense rules are used instead. 

During non-critical phases of flight, pilots will often read newspapers, books, iPads etc. Many will do crossword puzzles or Sudoku. A few will even listen to music or watch a video, but it is pretty rare.

In 40 years of flying, I can't recall ever seeing a pilot play a video game or flight simulator.