As superficial as it seems, this kind of stuff drives me away from businesses. I almost changed my mind about opening a retirement account with Charles Schwab purely because they block access to their site from the VPN that I used at the time. That said, for services from which I gain a lot of benefit, the annoyance is worth it, so it ultimately doesn't matter.
Send them a message. Switch to another bank, close your account, and tell them why.
Why? My time is valuable. If they want such detailed feedback (i.e. free business advice) from me, they can compensate me for it. I would get nothing in return for spending my time explaining why I'm not going to give them any more of my money.
Presumably they'll already make you waste time talking to a human when you close your account. Might as well mention the captcha to make public the distaste for recaptcha as we are now on this forum.