The overload of QSslSocket::setPrivateKey taking a file path will succeed silently in all cases (also applicable to setting an invalid key). Having at least one of the following three things as error reporting is not unreasonable to expect:
1) The method returns a success status (bool, probably can be added for Qt6).
2) The method emits a debug warning (qWarning).
3) The socket emits an SSL error.

The offending code is here:
qtbase/src/network/ssl/qsslsocket.cpp

Related to QTBUG-72015.