> You're telling me cloudflare has to store something on my computer to let them know I passed a captcha?
Yes?
HTTP is stateless. It always has been and it always will be. If you want to pass state between page visits (like "I am logged in to account ..." or "My shopping cart contains ..." or "I solved a CAPTCHA at ..."), you need to be given, and return back to the server on subsequent requests, cookies that encapsulate that information, or encapsulate a reference to an identifier that the server can associate with that information.
This is nothing new. Like gruez said in a sibling comment; this is what session cookies do. Almost every website you ever visit will be giving you some form of session cookie.