I think you've hit on the answer. The reCaptcha window allows you to check their "Terms of Reference" and, if you click on it, you find Google Terms of Reference.
So, if I either uncheck 'Prevent cross-site tracking', or use Opera, Google is sending information from that site back to home base. What would be the nature of the information? Would it be more than the simple fact that I purchased at that site, or would there be more?
I don't know and Google would require a congressional subpoena to tell you what day they collect and sell to anyone that wants it. But, based on reports about what other other Google cookies reveal, it could be enough to identify you as an individual, although probably not by name, what you bought, and where you browsed after you left the site where you got the reCaptcha cookie, even days or weeks later.
