You wrote in a comment:
Yes, the standard definitions in game theory read "normal form game" and "extensive form game", or "game in normal form" and "game in extensive form".
So, the expressions normal form and extensive form are used attributively. In that case, there is absolutely no reason to add anything between the attributive and the noun.
Instead of normal form you could place any adjective, for instance difficult. Your example would become:
Example of a difficult _______ game with probabilistic players?
Now, ask yourself if you would feel anything is missing in the gap.
Now, ignoring the given context, and stepping outside the given specific subject, it is absolutely possible, of course, to read the given phrase as if normal form is not attributive. This is the way most people would read it that are not used to the specific vocabulary of normal form and complex form games.
In that case, of course the version without of a is missing something. This would be equivalent with:
That is one hell () question.
That is a special () kind person.
That is a complex form (*) game.
In those cases, of or of a needs to be added. That is of course, assuming that we are not talking to people that expect to hear about normal form games!