In the administration jcomments, configuration, View tab, bottom,
Kcaptcha the captcha is gray.
No option to choose
This is normal. It contain only one option - KCAPTCHA, default built-in captcha implementation.
I've registered on your site, log in and post comment. And got an message 'Merci pour votre commentaire. Il sera examiné par un administrateur avant d’être publié !' Seems all works fine.