I installed Mollom, but I don't always see CAPTCHAs on my site's pages. Is that normal?

Yes, Mollom protects your site by analyzing the text being entered into a form by a user. If necessary, it uses CAPTCHAs to differentiate between the input from spammers and the input from real, valid users. Since CAPTCHAs are only displayed when necessary, you won't see them all the time. See this "The science behind Mollom: Spam vs. Ham" blog post or read through the tutorial for the Mollom Drupal client for more information.