Judging from the efforts that have used this label to date, we assume they mean a game that sort of borrows the structure and language of film, and forces you to watch loads of tedious cutscenes.
It sometimes feels that certain game developers - like everyone else, depressingly - put more stock in the value of film than in games. They sometimes seem so embarrassed by their jobs that they have to pretend their games are something they're not, or are somehow elevated above the rank-and-file shoot 'em ups and platformers because, y'know... they're "cinematic, maaaan".
Presumably, this is because cinema is the single greatest thing mankind has ever achieved, and the pinnacle of all artistic endeavours since the dawn of time.
The Order: 1886 is just the latest video game to be wholly embarrassed by itself.