There is a Captcha on logon and also the auction house amongst other places. If you use an authenticator you normally don't get the logon one, although you sometimes have to re-authenticate. There is a process to minimize the authenticator process.

The logon one tends to popup if you do frequent logons over and over, and with multiple accounts, because it is behaviour seen with automation (ie. botting), so the captcha is to make sure you are there.