it doesn't work even with the Ajax enabled
It was working fine in my tests with ajax loading. Gantry has built in caching though so I've no idea if that'll adversely affect it.
I don't know what happens.
I've no idea what Gantry is doing to Joomla session data so I don't know what to suggest, sorry. Without sessions CB AntiSpam can't keep a copy of the captcha code to validate against. I suggest contacting Gantry.