Yes, the Captcha module is still incompatible with Drupal's caching. In fact, once it is installed, it gives you a nice warning on Drupal's performance settings page.
The CAPTCHA module will disable the caching of pages that contain a CAPTCHA element.
Most challenge/response modules like this will disable caching. The Honeypot module, which helps in deterring spam bots from completing forms, does that too.
Honeypot uses both the honeypot and timestamp methods of deterring spam bots from completing forms on your Drupal site. These methods are effective against many spam bots, and are not as intrusive as CAPTCHAs or other methods which punish the user.
If you need to avoid spam bots fill forms too quickly, you can use the Honeypot, which disable caching when Honeypot time limit is set. Using only the honeypot field, caching is not disabled.