Validating a Webform with CAPTCHA locally before submitting to an external URL
If you want to validate form, you need to leave action intact. Then, you can send it's content to external server in it's save handler using it's api or drupal_http_request().

The point is - action tells the browser where to send the data. If you make it send data to external server, your Drupal will never get it, so it will have no opportunity to interact with it. Of course you might try to implement validation in browser too, using JavaScript, but that's unreliable and shouldn't be used as an only way of validation.