It is indeed working on 10CR01 and not 9.4. Made a mistake above.
In fact problem is not on trusting the server. I do have intermediate and Root CA of remote server (Hydrant and QuoVadis, for Informatica Cloud).
Problem comes from handling SSL ***Client*** Certificate request in SSL handshaking.
On 9.4 it seems it does check on whether it trust advertised CA list or not (Informatica Cloud Issuing CA and Internal Hostnamed Root CA). On v10 it just ignore CA list and returns empty cert to the server (which is normal behaviour).
My Screenshot above shows it. We are way passed Server Cert, already exchanged Client Hello and Server Hello.
Thus problem solved upgrading to v10. I didn't see this explicitely mentioned in v10 documentation's changelog though.
Screenshot on v10: