NVIDIA can add any information outside the capturing capabilities of OBS (let's say at "low level", the driver level). So some overlays cannot be excluded from the capture.
Few words about the "Capture third-party overlays (such as Steam)" option in OBS. When checked, it just delays the time when capturing hook is set. This ensures that Steam Overlay sets its own hook before OBS capture. Thus, OBS gets address of the latest picture (already modified by the Steam). Otherwise, OBS captures clear game picture and it will be modified later by the Steam (Steam may draw its own overlays, fps counters, achievements or else). By the way, OBS hook is dummy - it modifies nothing in the picture, but holds reference to the part of the memory where picture is.
And just in case, make sure that the overlay is not simply rendered over, in the player, during playback (video player may use HW acceleration, and thus may not differ a lot from a "running game"). For example, some overlays may appear in each 3d view of the CAD-like programs (despite you don't need them there).