It is too complicated to answer broadly, particularly since "educational video games" can include a wide range of software from something focused on specific learning outcomes (e.g. typing tutors) to games meant primarily to be entertainment but happen to have some historical information (e.g. Oregon Trail).

Generally speaking, the former will usually be more effective than the latter but I'd hesitate to paint with a broad brush. There is a lot of software out there that advertises itself as "educational" but doesn't follow the science of how we learn from multimedia.