What will happen to the game if we Completely mine the Moon? And if we do the same thing in reality?

Good question!

I think if our moon is full of magic space dust because it has no atmosphere and it blows in on solar winds, then there has to be other moons out there without atmospheres??

We'll just have to get better at building spaceships by then!

Magic space dust? ... Ok. Why not?

duh du jour. there are plenty of moons without atmospheres. we just don't have the technology to get to them

In my opinion it will take a very long time mine all the helium out of the moon...if helium is even worth anything. Fusion reactors are still fiction and when they finally aren't Helium may not the all-so vital ingredient we think it is. As far as we know helium offers the most efficient means of achieving fusion but that certainly doesn't mean it is. With fusion research still in it's infant stages who knows what remains to be discovered.
I'm betting that by the time man is making routine trips to Io and Titan helium 3 is not going to be the primary fuel of fusion reactors.