This is probably because the game is not using a video mode which MEP can screen capture from.
If the game will let you change the video mode eg DirectX, Overlay etc then try changing these to see if you can capture.
Most gamers capture games footage using third party software specifically designed to do this.
However there is of course the small question of Copyright - many games have protection built in to prevent recording / capture of game footage or specifically ban capture in the licence agreement..