Windows isn't lying. Microsoft openly lists what certificates Windows includes on their site. The fact the root certificate store on your machine only lists certificates it actually contains is to be expected. This is just a UI failure.
So roots are dynamically fetched and this is the list of previously fetched roots? Or is it a revocation check before first use? Do you have a link?
Precisely. Windows comes with a small number of roots pre-installed. I can't remember which they are, I assume it's probably just Microsoft's own, one of which is presumably used to check roots fetched later. When you browse the web with a browser that uses Windows's certificate store, it'll fetch other roots as needed.
Interestingly, this might be a security benefit. If you'd never visited a site using a revoked root, you never had the root in the first place.