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Why do I see a captcha when I try to subscribe myself? Isn't that bad for conversion?

Yes, it certainly would be!
But: we only show captcha in rare cases, if we have reason to believe something fishy is going on…
For example, if you subscribe multiple times from the same browser and the same IP, then it could be seen as an attempt to get fake email addresses into our system.
In order to protect our excellent email sender reputation and ensure your email list is a good one, the “user” is asked to complete a captcha in those cases. This makes it impossible for bots to submit fake emails, and it also discourages humans to do so.
Bottom-line for you as publisher: you don’t have to worry about this – your regular user will not see a captcha but experience a frictionless process to follow you!