Thanks everyone for your feedback. I didn't get to test it today so I'll just add a few more details. I bought the composite cable mostly for travel purposes, in case I find myself in a place with RCA inputs only. But having the Pi's display on my PC (in a window) is quite useful, regardless of the type of session (text or graphical). I didn't know what to expect, but I expected the picture to look normal.
To make it crystal-clear, here's my setup:
Raspberry Pi 3 -> composite cable -> USB capture device (on another PC) -> VLC (Open Capture Device)
As for my screenshot, it's Raspbian lite. I didn't need a GUI so I didn't want to waste resources with the full desktop, not to mention the useless wearing of the microSD card to update the required packages for the graphical environment and all the software for it - so no VNC/TeamViewer/etc.
My monitor has 2 HDMI inputs but no picture-in-picture feature, so I can only get one A/V source at a time. Is there another way to get a nice quality image from the Pi?
Oh, and on another microSD card, with PIXEL, I switched the sound from HDMI to Analog but I got no sound from the Pi. I turned up the volume everywhere: VLC, the USB capture device, and my Pi, but no sound. So I'll really have to test it on my TV. Or is there some config.txt directive I should set? The audio is set to Auto in raspi-config, and Raspbian is fully updated.
Here's how it looks.

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The movies looked reasonable with deinterlacing enabled in VLC but the rest of the desktop looks fuzzy. And I don't know why sometimes Kodi doesn't cover the whole screen while playing back the movies. Oh well, that's entirely out of the scope of this thread. I will obviously be unable to make screenshots with my tests on the TV, but I'll let you know if I get a decent picture and maybe sound.
Cheers!

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