It absolutely is deceptive. The captcha does not openly tell the user “if you complete this you’re going to train an AI system for us which we will eventually sell for profit”. The user is merely told to “prove that you’re human”. The terms and conditions or privacy policy also don’t spell things out in plain English, it’s all generalised statements meant to disguise what they’re doing.

It’s also not true that everyone benefits. The user is supposed to gain access to the website for free - the website wants users to visit. However, the website wants to prevent non-user bots from accessing the website. Instead of the website paying for a service to prevent bots and taking that as part of their overhead costs, the website is getting the user to provide unpaid labor to pay a third party for the service that the website wants. The service gets a benefit, the website doesn’t have to pay, the user has to do all the work with no fair reward.

If it was literally just proving the user was human, that would be different. These systems extract further value from the user, for which the user is not compensated.

It might only be a small thing, a few pennies here and there, but they’re stealing pennies from everyone.