A friend of mine and her DH recently moved back in with her parents, in their basement, which was renovated to make a nice living space for them, including a kitchen. I'm waiting to see how it goes. Both of them have jobs but not high-paying, and a big part of moving in with her parents was to get them geographically closer to her DH's new job without having to buy/rent their own place. I'm not sure if they're paying rent to her parents or what. It seemed like a weird life choice to me, but it really has no effect on me, so... The only complaint I've heard so far is that they don't like living underground--I don't think there are any windows down there.
But, anytime you share a living space with other people, there's going to compromises and discomforts. (In fact the reason my friend's parents sprang for a second kitchen downstairs was to prevent conflicts over a single kitchen between the two couples.) Platonic roommates, a romantic couple moving in together for the first time, adults going back to their parents' house, anything. My favorite idea so far is to just generally open the floor for discussion with the parents--"Hey, it's been great living here and we've really saved a lot of money towards XYZ because of it. Just wanted to check in and see if there's anything that you think needs adjustment?" And maybe mention getting a lock on the bedroom door in the same conversation--that seems a perfectly reasonable request to me.
You could even say, "I've noticed that whenever we're playing video games, you make some negative comment about them. Is there something you'd like to discuss about them? Do you think we should be doing more chores with our free time, or were you hoping we'd be out of the house more...?" With a subtext of, "It's not about the video games, it's about what your message to us really is. Because obviously adults would not constantly criticize each other's hobbies just to be mean--you must be trying to tell me something else, and I want to find out what that is. Oh, you didn't have another message? Then please stop being negative about our hobby that doesn't involve you."
I don't think the only answer is, "move out." You and DH moved into a house after discussion and agreement with the current owners/tenants (your parents). Collectively you decided what you and DH would do to compensate them for sharing their space. If either side would like to make small adjustments, I think that's perfectly reasonable, and maybe all it would take is one person being willing to start that discussion. Just like with platonic roommates it can be a good idea to have a "roommate meeting" once a week or every two weeks or whatever to clear the air about issues before they build up too much. Really wish I'd thought of that when *I* had a roommate!