CAPTCHA solve a specific design problem. They are not an IETF protocol or solution to be used everywhere. That's kind of the issue. Once a CAPTCHA is worth enough it will be overcome.

The problem is to design a CAPTCHA that implements just enough headache to make it worthwhile not to overcome and at the same time not frustrating users. I think this chess problem uniquely and elegantly solves the problem for the site in question by achieving both.

Then again, I am not familiar with the users, maybe the site is often trolled by chess mastah wanna-bes.