curl doesn't warn when a certificate or key file doesn't exist. Is this normal?

I tried running a curl command with a valid certificate and key file (actually, they might not be valid, but the given paths do exist) and got the following error :

InitializeSecurityContext failed: SEC_E_ILLEGAL_MESSAGE (0x80090326)

To try and spot where the problem was, I tried executing the same command with obviously invalid file paths and, weirdly enough, curl gave me the same error, instead of pointing out the fact that the given --cert and --key don't exist.

Is this normal behaviour from curl ? To me, it would seem more logical to tell the user that the given files don't exist instead of just ignoring both the certificate and the key.

The curl statement : curl -v --key i_dont_exist.key --cert i_dont_exist_either.pem --header "Content-Type: application/json;charset=UTF-8" <a valid url>

My curl installation is working with schannel.