I tried with OpenSSL 4.0.1, and 3.5.7 with TaurusTLS and IndySec (all updated).
All work good.
Only issue (not blocking) is that with IndySec tha SSLTEST reports this issse (while TaurusTLS is good), see images. The orange text ('Chain issues Contains anchor') indicate the issue.
The code is exactly the same, except for use of "Context" derived for proper SSLContext and other assigned path.
P.S.: in the code there is (in the SSLOptions)
UseSystemRootCertificateStore := false;
Not sure what is going on here. Your images appear to be displaying two different certificate files. The first contains 2 certs and the second contains 3 certs. So you are not comparing like with like.
However, your post did make me look at the code in this area and I noticed a regression from IndySecOpenSSL version 1.0 in the current version. That is UseSystemRootCertificateStore is bring ignored and it will hence always load the System Root Cert Store. That I will fix.