This sounds like a good suspicion to me. Because phpBB itself appears to consistently use the phpbb_get_board_contact_link() function to generate the target of that link, and will honor the "Enable contact page" setting (in ACP, General tab, Board Configuration section, Contact Page Settings) to decide whether to generate a "mailto:" link or the "memberlist.php?mode=contactadmin" link in the captcha help description.
It's only by virtue of the Contact Admin extension that you even can have the captcha on the Contact Us page. I suspect that the Contact Admin extension might (?) be intentionally only allowing the "mailto:" link, because "you're already on the Contact Us page." i.e. It wouldn't make sense to "give you a link to the page you're already on."
It's probably good to ask in the Contact Admin extension support area regarding whether there is anything you can do to stop a mailto: link from being generated. For phpBB itself, it's the "Enable contact page" setting that will control this. But in phpBB itself, you can't have captcha on the Contact Us page.