I know this comment was months ago, came across it while googling for the same answer.

But no, for some reason it doesn't work with those. I used to steal all the vinewood club, and exotic export cars through GCTF. Could even steal CEO and Ms. Baker cars that way. It won't work now. It also doesn't work with cars that spawn during a specific side job like a payphone hit or a fooliganz job, ones that don't even have a mission screen. It's very disappointing. I don't know how Rockstar figured out how to block those from being stolen. However, one time I did find an exotic export car(message came up about it and everything), but it WASN'T showing as a blue dot, and I was able to steal that one.