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

In case on 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.

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

What you can do? It depends on what you want to do. You can access the site with http://cacert.org/ link for example and follow the link to instructions how to install their root CA.