When you try to save a page with new external link as anon user, an error is shown "incorrect or missing CAPTCHA", the CAPTCHA itself is placed below the editform:
(I made the edit area smaller to fit all relevant things on one screen, the CAPTCHA was actually hidden below, so I had to scroll to see it)
The first try to save a page should not show an error, because the user didn't have any way to already provide a CAPTCHA, the CAPTCHA itself should be visible without scrolling.