How can i change the #WEIGHT

This will probably help you further:
#743056: Document how to add a CAPTCHA programmatically

@klikissy: in which form are you trying to reorder the Captcha field? Is it some form provided by drupal core or any module or a programmatically created form?

In dev branch 7.x-1.x the problem can not be reproduced.

You can change "#weight" from any form_alter. Simple example for the "registration form":

<?php
/**
 *  Implements hook_form_alter().
 */
function custom_form_alter(&$form, &$form_state, $form_id) {
  $form['captcha']['#weight'] = -11;
}

?>

Also you can define the "captcha" between fields in your custom form. Simple example:

<?php
function custom_my_form($form) {
  $form['field_1'] = array(
    '#type' => 'textfield',
  );

  $form['captcha'] = array(
    '#type' => 'captcha',
  );

  $form['field_2'] = array(
    '#type' => 'textfield',
  );

  return $form;
}
?>