Captcha isn't shown if I surf some websites through proxy servers. I haven't removed any scripts and objects.
Simple, don't use proxy servers. Proxying scripts through a web site can prevent many bits of code from working. For example, scripts that attempt to keep a session open, or scripts that verify the source the script came from... etc. Many sites that use captchas and other such security mechanisms don't want you to proxy, as it bypasses the whole purpose for security mechanisms like captchas in the first place.