You can display the certificate that the server provided and examine yourself.

In case of cacert.org they are presenting a self-signed certificate. And that's why your browser complains. There is no trust chain that leads to a trusted CA.

If you were using a Linux distribution that comes with their certificate pre-installed, you wouldn't see a warning.

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Why? Their "business" decision. They are free to do whatever they want when they provide web services. They can ask users to install their root CA, they can invest money and get a signed certificate for their website.

They chose the first model, because that fits their purpose and "eat your own dogfood" idea.

What you can do? It depends on what you want to do. You can access the site with http://cacert.org/ link and read. Or follow the link to instructions how to install their root CA, install and trust the certificates they sign.