How to move captcha fieldset
Use hook_form_alter to hook into the form and programmatically insert the captcha element or adjust the weight of the element or pur the element inside the fieldset. 

function example_form_alter(&amp;$form, &amp;$form_state, $form_id) {
  if($form_id == 'YOUR_FORM_ID') {
    // 1. Put the captcha element inside the fieldset 

    // OR

    // 2. Associate the capthca element to the form 
    //$form['captcha'] = array(
    //'#type' =&gt; 'captcha',
    //'#captcha_type' =&gt; 'image_captcha/Image',
    //);

    // OR

    // 3. Adjust the #weight attribute in the form 
  }
}


References 

FORM API

How to add a CAPTCHA programmatically

If you need more details please let me have the $form variable in txt format.