Measure the resistance of the fuse. If it's very low (close to 0 ohms), it's still good. If it's very high (open circuit), it's blown.
A 200 mA fuse should have a very fine wire visible inside the glass. If it's completely clear, the wire is gone (blown).
The OL is supposed to tell you that you have overloaded the multimeter in some way. If you look at the datasheet or the specifications of the multimeter you linked, you will notice that it has a capacitance range of only up to 100µF. So the capacitors you are trying to measure are too big (if they are good).
Another overload condition is a short circuit of the leads, it can be imagined as a infinitely large capacitor.
A note on the autoranging with overload conditions: it may take more than 3 seconds to get to the right reading as the multimeter tries the actual measuring range, detects a too big value, switches to the next, detects an overload, until it is at the largest range. I just tried this with a top range Gossen Metrawatt Energy and it took roughly 5 seconds before I got a reading on a 22µF capacitor. Before it would display OL. My HP/Agilent/Keysight 34410A takes around 8 seconds to get the reading, but the display freezes before displaying something.
When you are measuring capacitance with normal leads you might want to hold them as steady as possible and not closely parallel together. Another way is to tape them together and use the Zeroing function of the meter to cancel the lead capacitance out. Additionally you should try to remove your hands while measuring as your body will have a significant effect on the measurement.
A defective capacitor might end up at 30nF, I've taken apart the power board of my LCD monitor and there were some really bad caps, also specified for several hundred microfarad and now in the nanofarad range. Another good indicator for a defective capacitor is the increased ESR (equivalent series resistance), but only specialized LCR meters will give you that value.
Best Answer
The meter has a maximum full-scale range of 200µF so no, it will not able to measure a larger capacitor value directly.