It's not a bug, but GTA 3 is a DirectX 8 game, and OBS Game Capture does not support DirectX 8. There are alternatives, such as using DXtory to capture the game, using a capture card of some sort, or using Windows 8, since DirectX 7 and 8 applications get pushed to windowed/borderless windowed mode in Windows 8 and can thus easily and efficiently be captured using window capture.
Edit: dodgepong beat me to it, but yeah.