set_default_paths only resolves OpenSSL's compile-time CA dirs, which
exist on Linux but are empty on Windows. The stealth client's cert store
ended up empty there and every TLS handshake failed with
CERTIFICATE_VERIFY_FAILED inside BoringSSL handshake.cc.
CertStore::default() uses wreq's bundled webpki-root-certs (Mozilla's
trust list), which behaves the same on every platform and removes the
dependency on a system CA store.