I can concur this is still an issue for Shopify CLI version 2.7.4
When on localhost:9292 and you try to access the account area of your shop you’re prompted to login. When logging in you get a reCaptcha on localhost:9292/challenge. After submitting the reCaptcha you’re redirected to the actual store address my-shop-slug.myshopify.com/challenge and have to do it again.
You can work around it though by disabling Google reCaptcha for the account page.
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Go to the Admin page for your (development) store
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Go to Online Store > Preferences
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Scroll down to the ‘Spam protection’ section
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Uncheck checkbox for “Enable Google reCAPTCHA on login, create account and password recovery pages”
This is a suitable workaround for me as it’s a development store.