Sorry for the delay. We're going to have to investigate this further. The issue may be a bug, but it's also one that's likely going to be hard to directly work around and use the "User Options" setting.
For our registration page, we load the joomla registration form xml file from components/com_users/models/forms/registration.xml
That XML file describes all the fields that should be shown during registration, including the captcha field.
That field is a built-in Joomla field and when it's loaded to display on a page, it goes through the hierarchy like you show for the captcha setting:
So, when displayed in the com_users component, it looks at the settings as follows:
-- com_users captcha setting
In JFBConnect, it looks at the settings like:
-- com_jfbconnect captcha setting
However, JFBConnect doesn't have a captcha setting, so the Global value is used.
We could add a captcha setting to JFBConnect, but that's one more setting for just that one page.. which isn't something we'd like to do. However, I'm not sure how to trick Joomla into looking at the com_users captcha setting when loading that form from another component either.. and that could open a can of worms to make sure no other issues during registration are introduced.
Bottom line - I can confirm your behavior you describe above, but it's a less easy fix that it may sound like. Hopefully the above explains why.
Can you let me know how you're using the Global setting differently than the User setting? That may help us understand the necessity of being able to override it in JFBConnect to properly investigate further.