I set this up, however I also get a image selection as well, is there options here? I didn't see them on my Google set up page. I have went to other sites with this option enabled without the image selection.
That is one of the features of ReCAPTCHA. If it's not certain if you're a robot or not then it will show further verification. This can be a normal scrambled text CAPTCHA or an image selection one like you have pictured.
More often than not clicking the checkbox is more than sufficient.