I play Wii on my plasma, no sign of any screen burn. Theoretically yes, it can burn, but I have my plasma set at slightly less than 50% brightness and contrast (which looks superb for movies and is pretty close on the THX calibration tests) and the worse I ever saw was a few "hearts" on the screen after a long game of Zelda. The next day the hearts had faded, it was image retention rather than true screen burn.
The worst time for a plasma screen is when its brand new, the first couple of hundred hours when the phosphors are at their hottest, but as long as your sensible, and dont run the screen insanely bright it should be fine. Its just like the old CRT telly's they could get screen burn almost as easily as a plasma, but how many people used them anyway.