Why does the money leaking via commissions necessarily make the game sub-zero sum? Is it because we aren't looking at the big picture where everyone wins?
It seems like the risk managers must have a positive incentive to sell their risk on the marketplace instead of assuming it themselves. I.e. hedging another investment like someone else said already.
If the game is played where the players arrange transfers face to face such as in a home poker game, then the game is zero-sum. Your losses are my gains. No money is created. No money is destroyed. It stays inside the game. The minute we go to a casino to play the same game, the game becomes sub-zero due to the rake. You lose X to me and Y to the rake. I gain your X and lose Y to the rake.
Your cash flows: -X - Y. My cash flows: X - Y. In a zero-sum game your cash flows are the negative of my cash flows. This implies -(-X - Y) = X + Y. This is a contradiction. Therefore, the game is not zero-sum.
Commissions are an expense that both sides pay to play the game. Money is not transferred from one player to another, it is transferred to outside the game.
It is true that there is a positive incentive to sell risk from the risk-manager's view. That is the whole reason the markets were initially established, both derivatives and the underlying of the derivative.