Well, I think I've figured it out by myself now. I found
    and read some information about the way Windows verifies
    certificates (trying to build a certificate chain with
    the certificates from its "trusted" store(s), assigning
    preference values to the chains found, and such). It occured
    to me that the certificate chain one sometimes sees when
    looking at a certificate file in Windows comes from that
    process, rather than from the file itself. Remember, I had a
    personal certificate "cert1", signed by a CA whose public key
    I had in a different certificate "cert2", which in turn was
    signed by a root CA whose public key I had in another, self-
    signed certificate "cert3". Now, importing "cert2" into some
    certificate store under Windows (I chose "Intermediate CAs")
    and then double-clicking on my personal certificate "cert1",
    I indeed saw it as part of a chain with "cert2" on top. In
    the chain, "cert1" was deemed "OK", while for "cert2", "the
    issuer of this certificate could not be found". Of course,
    cert2's issuer field contained a DN for which I did not yet
    have a certificate in my stores. So I imported "cert3" into
    "Trusted Root CAs", and then double-clicking on the same old
    "cert1" files brings up a three-part chain ending in "cert3",
    with all members being just "OK".

    So Microsoft, trying to be "clever" again, seems to have fooled
    me into thinking the chain could be in the file, whereas
    now I know it isn't in my example file and I suspect it can
    never be. If anyone can confirm this, I'd be interested. Using
    Windows, I can of course export the whole certificate chain
    into a PKCS#7 file, and that is something openssl seems to
    be missing - a command to build PKCS#7 files from a list of
    certificates, all that "openssl pkcs7" seems able to do is
    convert an existing file between DER and PEM formats. And I
    haven't found another command with that functionality. Maybe
    you would want to expand openssl there.

    Anyway, thanks for your attention.

    Sebastian
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