NOTE: If this has already been fixed, sorry. I just haven't gotten a CAPTCHA in some time, so can't see what's happened.
I've noticed that, when you get a CAPTCHA, at the top,
it always says "Login"it doesn't say anything, even if you're already logged in. This was very unnerving the first few times I got it, while compose a question for a long period of time. When I saw that it said "Login"it said nothing instead of my display name, I thought that my session had ended. Thus, this may be confusing, the first time you see it.
I'm not sure if this is a bug, but if it is status-bydesign, I think that CAPTCHA pages should reflect authentication status, too.
UPDATE: Here's a pic! Notice, no logged in status at the top, not even "login"!