OK, I found it: "The GameThe Game", Neal Barrett Jr., Amazing Stories, July 1963, P 53.
Summary from the story's front page:
The terrified colonists did not know the rules, nor the Player. They saw the Penalties come screaming back, dead or dying. And remorselessly the being in the alien wood commanded them to keep on playing...
Not a story with a happy ending, but after reading it again, I can understand why it left an impression on me 50 years ago.