With Content-Security-Policies (CSP) activated, the below code in line 10 of file https://github.com/captcha-com/reactjs-captcha/blob/master/src/captcha-helper.js
var f = new Function(responseText);
is blocked. Indeed Function() method is blocked by default by CSP. So the captcha does not work.
Therefore, to make it work, we have to add the below exception in our content security policies:
script-src 'unsafe-eval'.
This reduces the protection against certain types of DOM-based XSS bugs...
So on one side we increase the security with the captcha but in another side we decrease it by "unsafing" javascript evaluation methods.