How can I theme the Captcha/ReCaptcha error message?
Believe I found a solution.

Since I am using the captcha with Webforms I inserted the below JS to the form and it seems to be working without any drawbacks.

(function ($, Drupal) {
Drupal.behaviors.myModuleBehavior = {
attach: function (context, settings) {
$( "[role=alert]" ).dialog();
}
};
})(jQuery, Drupal);