The most likely reason for this is the Captcha is not shown/selectable.
A likely reason is that your organisation has a custom domain. See How to add Captcha types with the custom URL?
Another possibility is that and older recaptcha is being used. These are not longer supported.
- To fix, on the Merchant Facility Tab, under the field "Captcha Type" selected a different captcha type such as "No CAPTCHA reCAPTCHA".