Not a bug. I had enabled the CSP header (Manual:$wgCSPHeader/en) and I should add an exception for the hCaptcha scripts in order to load. I did it and now everything seems to work fine. At least the hCaptcha loads normally.
I am using MediaWiki 1.35.0.
I created an hCaptcha account and I enabled hCaptcha following these instructions: https://www.mediawiki.org/wiki/Extension:ConfirmEdit#hCaptcha (For added safety I basically load the keys from an external file, out of the webroot, as described here for MySQL passwords: https://www.mediawiki.org/wiki/Manual:Securing_database_passwords)
The problem is that the hCaptcha does not load. I get the text "To protect the wiki against automated account creation, we kindly ask you to solve the following hCaptcha:", but hCaptcha isn't available.
Am I missing something about its configuration?