We just started working on our own solution for complete frontend authentication for WordPress (login, registration, lost paswword etc.). One of the issues we plan to use is Math Captcha integration. I think we'll be heading towards a shortcode, just as you proposed, to let you use Math Captcha in any frontend login/registation, not just ours. So, just be patient.
(if you're not patient :) it is possible - we're using this on dFactory plugins site, but it would require some plugin default settings changes from private to public static, making a Math Captcha class instance in your form and error hadling, also with the use of Math Captcha class instance - generally, some code juggling - contact us through our forum if you need more details)
Thanks for the the kind words about the settings, but what we like the most is not the look, but the efficiency. Believe me or not, it is 100% - and we'll be struggling to keep it at that level.