By "completely missing" do you mean you get a borken image? If so, check to make sure you have gdlib installed/enabled. More info here: http://www.libgd.org/FAQ_PHP(http://www.libgd.org/FAQ_PHP)
If, on the other hand, you mean the entire CAPTCHA component, i.e. the image, the form field, the accompanying text, etc. is missing, make sure you have it enable din Admin > Settings.
