I just figured out why the captcha is not being displayed on the review product form.

I went ahead and added this line:

Zend_Debug::dump($this->getLayout()->getUpdate()->getHandles());

To see what handles were really loading, turns out that the handle review_product_list loads after the form is submitted so you can see the INVALID CAPTCHA and the captcha box and input on the form because now that handle has been loaded.

Also, if you go ahead and update the reviews.xml file and add the following:

<reference name="head">
  <action method="addJs"><file>mage/captcha.js</file></action>
</reference>
<reference name="product.info.additional">
  <block type="core/text_list" name="form.additional.info">
    <block type="captcha/captcha" name="captcha">
      <action method="setFormId"><formId>review_captcha</formId></action>
      <action method="setImgWidth"><width>230</width></action>
      <action method="setImgHeight"><height>50</height></action>
    </block>
  </block>
</reference>

The captcha is still not displayed.

Any ideas how to resolve this issue?

Thanks!