I've not yet seen Bender's Game but the recent movies have not really satisfied me as Futurama output and stumbling onto "The Lost Adventure" on the DVD made me think that it must be an extra episode that was never shown. What it actually is, is an "episode" made up of the cut scenes from the video game, with some bits of gameplay in there as well. The story is that Mom has bought Planet Express, paving the way for her to take over the earth. The crew of Planet Express flee and try to work out how to get things back to normal.
In most games the cut scenes are generally not things worth watching apart from getting direction or clues this is a situation that is rapidly changing but in the past that is the way they work. With Futurama, they are impressive as part of a game and, were I playing it, they would be welcome reminders that I'm watching a proper Futurama product that appears to have had a bit of effort put into it and not just being a rushed out cash-in (although I'm saying this having never played the game). It is a nice idea to put these scenes together for people who don't have the game to watch and it is perfectly fine for what it is. Watching it as an episode though and ignoring the fact that it is only a video game, it doesn't stand up in any way to the series (yes, even some of the weaker episodes).
The animation is obviously a lot uglier but this is understandable, while the writing is solid but nothing special. If anything this film does rely a lot on affection for the characters because it doesn't do much new or clever but instead just coasts on the fact that Bender doing Bender is funny, Zoidberg is funny, the Professor is funny being the Professor etc etc. Treating it as an episode, it is easy to dismiss it as lazy because of it not being sharp or hilarious but watching it for what it is, it is just a cheerful little bit of Futurama that does what it sets out to do (connect levels in a video game) while also being quite amusing and warmly familiar.