@ChangeAgent
There's a problem with the CAPTCHA plugin (Really Simple CAPTCHA) used with Contact Form 7 that's been going on for at least 6 months, and no fix has been provided yet.
The error is as you describe - the image cannot be found sometimes. If you search through the CF7 support threads you'll find it mentioned - or Google Contact Form 7 captcha image not found
It's been blamed on caching plugins - mainly w3TC - but I don't see anything in your page source that suggests you're using a caching plugin.
WordFence however is working correctly.
You visitor would have seen the page - but maybe not the CAPTCHA image - however if WordFence logged this, it's likely it was because of too many attempts to load the missing image.