In the Kleopatra settings in the config tab "S/MIME Validation" the check box "Allow to mark root certificates as trusted" is not set by default. Although it is allowed to set root CAs in Kleopatra to trusted by default in the gpg4win versions.
It is the only option in the menu tab for which a status change does not result in some message shown in debugview.
And if you check the box, save+close the settings and open them again, the box is unselected.
This was reported for a user with Gpg4win 4.4.1, as they could (for whatever reason) not trust root certificates and they searched for an option to enable this.
While I could not replicate their main issue, the settings are obviously broken and this is true for versions from master, too.