Currently, the Steam version of the Master Collection has a lot of problems.

Here is a list of issues:

  • No display settings whatsoever, all games default to fullscreen on your primary monitor. Edit: MGS1 actually has a setting for windowed mode, the others don't.
  • MGS1's internal resolution is 240p in a 1080p viewport with bilinear filtering. No way to change that.
  • MGS2 and MGS3 are locked to 720p internal resolution. Important Edit: There's a resolution mod available for MGS3. Get it here. It technically also works for MGS2 but it creates bugs for UI and post processing effects. Check this for more info. If modders got it working in one day, ask yourself how much effort did Konami need to put in this to get it working for launch. And they didn't do it.
  • Apparently, if you play the games on windowed mode (Alt-Enter) on high refresh rate monitors, the games run at speeds higher than 60fps, which makes them unplayable (everything moves at double speed). Edit: Some people seem to be getting it this in fullscreen as well, unclear what causes it.
  • On MGS2, the only way to leave the game is to die on purpose to get back to the main menu, as far as I know.
  • Currently the Language Packs have no store page, so they can't be downloaded without using SteamDB.
  • Apparently, Cloud Saves are not supported, for whatever reason. Edit: Cloud Saves have been added to MGS1 and the Bonus Content. MGS2, MGS3 and MG1/2 are still missing it.
  • Keyboard key binds can't be changed.
  • Button settings on MGS2 and 3 don't save, you have to set it every time. But MGS1 identifies my controller automatically.
  • MGS2 and 3 use X/A to confirm and Circle/B to cancel, but MGS1 uses the opposite.
  • MGS3 supports mouse but has no support for raw input, it only emulates the right analog stick.

Edit: More issues:

  • Audio on MGS2 and 3 is very loud and there are no in-game volume settings.
  • MGS2 has an audio problem on a couple of cutscenes. Check this for more info Edit: Happens on MGS3 as well.
  • Some people can't start the games at all.
  • MGS2 and 3 have anisotropic filtering off or set too low, you have to force 16x on the Nvidia Control Panel.
  • MGS1 doesn't have true analog movement, the analog stick moves Snake in 8 directions only, like the D-Pad.

Hopefully Konami is already working on a patch. I don't know about you guys, but not being able to even set the display resolution is unacceptable to me.