Prerequisite: a secret key without password.

Choose "change password" in Kleopatra or passwd on the commandline --> 2 subsequent pinentries will ask you for a password (with repeat line). For the main key and the subkey (although the pinentry window does not say that...)

Gpg should remember the entry from the first pinentry and apply it to the subkey, too.
(At least if it is only one subkey. There are usages (shared encryption subkey) where a different password for special subkeys makes sense. But that would not only concern this special scenario, anyway.)