Hmm, that's weird... all Stack Exchange sites currently have automatic account association enabled.
What OpenID did you use when creating your new account at gaming.se? For association, you must use the same OpenID.
Did you by any chance use your Google Account to sign in (not Google Profile)? Google OpenIDs are notorious in being unique by domain - thus, association won't work automatically.
I remember that there is some fix for that... I'll update my answer when I find it.
UPDATE: Here's a description of the problem with Google OpenIDs (from here):
Google’s OpenIDs are domain specific. The very same gmail account, if you sign up on 5 different OpenID enabled websites, will result in 5 different random hash OpenIDs being generated. While this is probably OK in the general case (though still an exceedingly rare behavior among OpenID providers), it’s incredibly aggravating for us because we like to let users map their Stack Overflow, Server Fault, Super User, Meta, and Careers accounts to each other. And cross-site user mapping is a huge PITA when there is no common per-user identifier between those 5 sites. We have a workaround in place but it is not pretty, and I think writing it drove Jarrod to drink.
Here's how automatic account association works (from here):
- Match by GUID. This is something we generate and assign during account association, so it’s a perfect fingerprint.
- match by OpenID URL. This works for the vast majority of OpenID providers.
- match by OpenID provided email address … if you are on our trust whitelist. This works for those rare OpenID providers (currently, only Google GMail) who generate domain-specific identifiers.
UPDATE #2: Once again, I'm guessing that you're trying to log in with a Google OpenID. I just made an account on Stack Overflow with another Google Account and an account on Server Fault. They were associated automatically because of the email field that Google returns with your identity. It should be working...