I don't see how an application, be it a game or other, really requires both .Net framework 1.1 and 2.0. Framework 2.0 is backward compatible and is able to run applications written for framework 1.1. But yes, if for some reason this is the case, it is a bad sign indicating usage of some old and obscure code that the company is not able to rebuild (or don’t have the sources to).
By the way, it is very unlikely that the game itself is running on the .Net framework, I don’t think there are many commercial games that do, if at all. Probably some utility, companion tool or the installer is what requires the .Net framework.
What game is it?