However it seems there is a meaningful change between XP and Vista. In XP, when we install a certificate in the "trusted people" store it is not valid unless such chain exist:
In Vista, once we put the certificate in the TrustedPeople store it is automatically valid even if no chain exist:
This change makes sense: If we trust someone then we do not need to trust its issuer also. However there is a backward compatibility risk: non valid certificates on XP become implicitly valid on Vista which is a potential security hole.