Your workflow getting interrupted, especially with a full-screen challenge page, is a very high-stress event. The mascot serves a purpose in being particularly distinct and recognizable, but also disarming for first-time users. This emotional response was calibrated particularly for more non-technical users who would be quick to be worried about 'being hit by a virus'. In particular I find that bot challenges tend to feel very accusing ("PROVE! PROVE YOU ARE NOT A ROBOT!"), and that a little bit of silly would disarm that feeling.
Similarly, that's why the error version of the mascot looks more surprised if anything. After all, only legitimate users will ever see that. (bots don't have eyes, or at least don't particularly care)
As for the design specifically, making it more anubis-like would probably have been a bit TOO furry and significantly hurt adoption. The design prompt was to stick to a jackal girl. Then again, I kinda wished in retrospect I had made the ears much, much longer.