I've turned on the Captcha through the admin console for a French site (fr_FR).
Inside the locale fr_FR folder there is a file Mage_Captcha.csv with all the translations.
But no matter what I do, it's not picking up the translation, it only appears in English (everything else on the customer create form is in French).
I've cleared all caches, refreshed caches, etc.
If anyone else is having this problem. I solved it by adding the contents of the captcha translations to Mage_Customer.csv
Probably not the best solution, but couldn't figure out the root cause.
Thank you very much, i was having the same issue and your advise worked perfectly!