Set all the fields as required that you want filled out. Your alert indicates that the phone number was not filled out or not filled out properly and should not have been submitted. It looks as if all you got was the alert.
The CAPTCHA is a way of cutting off spam bots that automatically fill in forms but not humans. Humans usually would not want to waste much time sending spam manually.
They may be testing the form to see if it has an auto responder. I get those from time to time but usually it is a one shot thing. When they find there is no auto responder they move on. They really want to spam the masses easily not just one guy.
You could turn off the alert message but then you would not know if the form or forms were having any problems.