Not all enemy vehicles can be captured. Think of it as possibly too damaged for capture. Or, the damaged part is not available in the field. Or, they ran away with the keys. Or, what ever...
You can't always have it your way. The game was well designed and has it's reasons.
One reason being, if you captured a tank to early in the mission, then that mission would be to easily beaten.
So, just grab the MG and all the ammo and move on.
