Same problem with version 3.1.3 and wp 3.1.3 as described:
The Keys wont save.
But, to get to my request:
The new HTTP Api in wordpress 2.9 (and above) is fantastic, it standardises http requests and allows you to define a proxy through which all http requests are routed. Useful if, like me, you run a wordpress server on a corporate network. It would be nice (and useful) if wp-recaptcha would use this api, so that users behind a proxy could use recaptcha without having to fix the code to work with a proxy in every new version.