1) code is compiled from x86 to a virtual machine's instruction set, an x86 instruction will be translated into about between 2 to 50 VM instructions. A VM instruction is 1 to 4 bytes (depending on version of VMProtect, old was 1, new is 4) for fetching the next instruction opcode, and either 0, 1, 2 or 8 bytes for arguments. This will result in new instructions taking a lot more space, possibly between 2 bytes to 600 bytes per original x86 instruction, depending what the instruction is and the used version of the protector, newer ones being bigger.
2) the interpreter for this machine tends to take between 3 to 100 x86 instructions in its un-obfuscated form.
3) the interpreter is obfuscated, usually resulting in a 4-10 times increase in code size, and the code isn't localized in the same space (jumps throughout a 100MB executable will hurt cache) and access to the interpreter's "registers" and memory is done indirectly, again resulting in more sluggish performance.
Given these estimations, even if not perfectly accurate without doing actual statistics, you can expect between 24-50000 times slower code execution for protected instructions, possibly with an average 10000 times slow down. It would be insanity to do this on anything but initialization functions if you don't want your games to be very slow. If that wasn't enough to be bad, there are also threads running in parallel that performs anti-debugging features and they run virtualized code.
I haven't seen any gaps as you mention in protected game code once it's decrypted in memory, there are hundreds of virtualized functions per game, there are a lot of integrity checks in certain functions which are bound to be very slow, but if the developers were clever, they placed them in initialization code only. Some performance loss is unavoidable as certain code seems to be inserted indiscriminately throughout most functions, such as hiding integer constants using rather simple obfuscations, import protection by decrypting import addresses at runtime, and the integrity checks.