When you set up a private domain, we do a check to see if you have any features enabled that require reCAPTCHA, and we throw a warning if you do. (All KnowledgeOwl subdomains use our reCAPTCHA by default, but once you add a private domain, you need to add your own.)
However, thanks to a report from a customer, we discovered that this warning wasn't properly recognizing when comments weren't enabled, and was throwing the error when it shouldn't have been.
We've updated the logic in Settings > Basic so the warning is only thrown in correct situations. We also updated the warning message in the comments configuration screen so it provides you more detail on adding reCAPTCHA to allow unrestricted commenters. Two for the price of one.