Unmanaged C++ is really just version 7 of the MS C++ compiler, although saying 'just version 7' understates the improvements in terms of standards conformance and tool improvements. Unmanaged C++ generates standard x86 (or 64-bit now) code and will involve the same runtime decisions as before (MFC or not, statically link or not).
Managed C++ compiles to MSIL and will require the .Net framework to run - this does mean that you can get the benefits of managed code (Garbage collection, framework classes etc.).
If you are looking at game development then don't discount managed C++ as an option and I would strongly recommend you have a look here to see just what can be done.