As stated in SLaks comment, you may be missing some cookies.
Here is a working example with the provided url:
// Load the initial page for getting the required cookies
Connection conn = Jsoup.connect("https://www.saes.upiicsa.ipn.mx/");
Document d = conn.get();
Element captcha = d.select("#c_default_ctl00_leftcolumn_loginuser_logincaptcha_CaptchaImage").first();
if (captcha == null) {
throw new RuntimeException("Unable to find captcha...");
}
// Fetch the captcha image
Connection.Response response = Jsoup //
.connect(captcha.absUrl("src")) // Extract image absolute URL
.cookies(conn.response().cookies()) // Grab cookies
.ignoreContentType(true) // Needed for fetching image
.execute();
// Load image from Jsoup response
ImageIcon image = new ImageIcon(ImageIO.read(new ByteArrayInputStream(response.bodyAsBytes())));
// Show image
JOptionPane.showMessageDialog(null, image, "Captcha image", JOptionPane.PLAIN_MESSAGE);
OUTPUT

Tested on JSoup 1.8.3