I know that when we focus on duration,
While/when I was cooking she came in.
we are allowed to use both "while" and "when".
When we focus on effects we are only allowed to use "when":
I was playing when I heard something.
Here "while" would be incorrect.
What about if clause? Could I say "while I play I always win" While instead if?
The short answer is it's grammatically correct to say, "While I play I always win", but it doesn't have the meaning you intend.
"While" means "during the time", and "when" means "at the time" or "each time". So "while" can only refer to spans of time, and "when" can refer both to spans of time and instant events.
In your first examples, the continuous verbs, "cooking" and "playing", represent spans of time, so both "while" and "when" apply. In contrast, "came in" and "heard something" are both instant events which interrupt those continuous verbs, so only "when" applies.
So to your question, "play" can be referred to as a span of time, so it's grammatically correct to say "While I play I always win", but it doesn't have the meaning you intend. Since "while" only refers to a span of time, rather than a single event of playing, the implied contrast is with not playing at all, so it means, roughly:
During the time I play, I always win (and when I'm not playing, I don't always win).
The intended meaning is, "Each time I play, I win". This meaning can be expressed with "when", but not with "while" because here, "play" is a repeated event, rather than a span of time.
"When" can be a bit more flexible than "while." Note that these examples include a "long thing"—an ongoing activity—and a "short thing," an event. For example, "I was playing" is the "long thing" and "I heard something" is the "short thing." "While" is simple: it can only be attached to the "long thing." You can rearrange the sentence, but keep "while" attached to the "long thing."
While I was playing, I heard something.
OR I heard something while I was playing.
BUT NOT While I heard something, I was playing.
"When" is more flexible. It can be attached to the "short thing":
When I heard something, I was playing. (I.e. at the moment that I head something, my situation was that I was playing.)
... or to the "long thing":
When I was playing, I heard something. (I.e., during the period of time in which I was playing, an event happened.)
Note, we've been talking about the combination of "long thing plus short thing." You can also use either "when" or "while" to talk about two simultaneous (or near-simultaneous) short things, with a slight change in meaning.
While you pressed the red button I pressed the blue button. (Both presses are happening truly at the same time.)
When you pressed the red button I pressed the blue button. (This could be simultaneous, or it could be that I pressed just after you did.)
