Thank you for clarifying.
I generated a new self-signed certificate and verify=4 works.

However, when I generate a non-self-signed certificate signed by a third party CA, "verify=4" gives me the same error as in my initial post. It still expects to find CA's certificate together with the server's certificate in CAfile.
 The description in manpage is:

level 4 Ignore CA chain and only verify peer certificate.

Apparently the description is inaccurate.