I honestly find it more concerning when I’m expecting one and I don’t get served a ridiculous puzzle to solve.
Also turn on a VPN some time (a signal to Google et al. that you're trying to bypass content region-restrictions, or funnel mobile traffic through an ad-blocker) and you are basically guaranteed to see nothing but CAPTCHAs from the predominantly CloudFlare owned and operated Internet.
So yes, it's a big problem, but only if your web environment (tracking metadata) are not sufficiently "trusted" :D