Yes, but it depends on the game. The Intel HD 4400 graphics core has pretty good performance when you consider that until 2011 Intel has not really bothered with graphics performance. It is still weak compared to dedicated graphic chips, but you can use it to play some games.
You can check out the following Youtube channel which basically shows games being played on the Surface Pro 1,2 and 3. The Surface Pro 1 & 2 have the Core i5-4200u / i5-4210u CPU with the integrated Intel HD 4400 graphics core. The Surface Pro 3 has a Core M 5Y70 and the Intel HD 5300 graphics core. The gameplay is recorded with hardware, not software (like FRAPS, OBS) so you are seeing the actual performance.
https
/www.youtube.com/user/microsoftsurfaceproG