In order to capture VideoFX you need to capture the desktop, and not just a single game client. If telling OBS to capture the desktop eats up a lot of resources, then you can try telling it to capture dwm.exe instead, but regardless, capturing the desktop is going to require more resources from your machine.

Personally, I use nVidia's Shadow Play (disclaimer: you need an nVidia GPU) because there is zero impact on CPU and the filesize is nice and compact. However, if you leave the Mbps setting for recording at default, then it's likely you will end up with shitty quality video, so kick it up to something high (or the 130 Mbps max) and you will have much better results.

If you don't have an nVidia GPU, then Mirillis Action is also good for capturing the desktop.