Captcha HttpHandler appears not to be registered.
If you can see the Captcha image, it's safe to disable this troubleshooting check (documentation).
Please make sure your web.config file includes the following declarations:
<system.web>
<httpHandlers>
<add verb="GET" path="BotDetectCaptcha.ashx" type="BotDetect.Web.CaptchaHandler, BotDetect"/>
...
<system.webServer>
<handlers>
<remove name="BotDetectCaptchaHandler"/>
<add name="BotDetectCaptchaHandler" preCondition="integratedMode" verb="GET" path="BotDetectCaptcha.ashx" type="BotDetect.Web.CaptchaHandler, BotDetect"/>
If the Captcha HttpHandler is registered, it could also be inaccessible due to your Url Routing/Rewriting settings.
SessionTroubleshooting: CustomSessionIdManager not configured (documentation).