It seems that there may be an issue with the form that is preventing it from submitting properly. When you submit the form and do not see the thank you page what do you see in the URL? Are you noticing any errors occurring in regards to the captcha that you have on the page?
If you have a link to the page this might be best. Please post back with whatever info you have about what is occurring and what you are experiencing and a link to the page so we can check into this with you.