The RadCaptcha error message is displayed in the ValidationSummary when the ValidationGroup property of RadCaptcha, ValidationSummary and the Button that validates the captcha code input are set to the same value ("SubmitInfo" in the case). If the value is set to a different ValidationGroup (this can be done by unchecking the ValidationGroup Checkbox), the captcha does not validate the input.
Additionally, by setting the Display property (as in all page validators) you can choose whether to display the Error Message or not.