My gpg "/usr/bin/gpg" is from the cygwin gnupg2 package. I see some example config files and a gpgconf man page. Below is a list of files in that package. From the error I got it seems it expected me to have a public gpg key for key 7EFCE8AC421EE20A from hkp://keyserver.ubuntu.com:11371. Apparently, cpanp only does gpg checks if it detects that you have gpg installed. Thus, if you don't care about that you can just disable it by setting signature 0.

/usr/bin/dirmngr-client.exe
/usr/bin/dirmngr.exe
/usr/bin/gpg-agent.exe
/usr/bin/gpg-card.exe
/usr/bin/gpg-connect-agent.exe
/usr/bin/gpg-wks-client.exe
/usr/bin/gpg-wks-server.exe
/usr/bin/gpg2.exe
/usr/bin/gpgconf.exe
/usr/bin/gpgparsemail.exe
/usr/bin/gpgscm.exe
/usr/bin/gpgsm.exe
/usr/bin/gpgsplit.exe
/usr/bin/gpgtar.exe
/usr/bin/gpgv2.exe
/usr/bin/kbxutil.exe
/usr/bin/watchgnupg.exe
/usr/libexec/dirmngr_ldap.exe
/usr/libexec/gpg-auth.exe
/usr/libexec/gpg-check-pattern.exe
/usr/libexec/gpg-pair-tool.exe
/usr/libexec/gpg-preset-passphrase.exe
/usr/libexec/gpg-protect-tool.exe
/usr/libexec/gpg-wks-client
/usr/libexec/keyboxd.exe
/usr/libexec/scdaemon.exe
/usr/sbin/addgnupghome
/usr/sbin/applygnupgdefaults
/usr/share/doc/gnupg2/AUTHORS
/usr/share/doc/gnupg2/ChangeLog
/usr/share/doc/gnupg2/COPYING
/usr/share/doc/gnupg2/COPYING.LGPL21
/usr/share/doc/gnupg2/COPYING.LGPL3
/usr/share/doc/gnupg2/DCO
/usr/share/doc/gnupg2/DETAILS
/usr/share/doc/gnupg2/examples/common.conf
/usr/share/doc/gnupg2/examples/gpgconf.conf
/usr/share/doc/gnupg2/examples/gpgconf.rnames
/usr/share/doc/gnupg2/examples/pwpattern.list
/usr/share/doc/gnupg2/examples/qualified.txt
/usr/share/doc/gnupg2/examples/README
/usr/share/doc/gnupg2/examples/scd-event
/usr/share/doc/gnupg2/examples/trustlist.txt
/usr/share/doc/gnupg2/FAQ
/usr/share/doc/gnupg2/HACKING
/usr/share/doc/gnupg2/KEYSERVER
/usr/share/doc/gnupg2/NEWS
/usr/share/doc/gnupg2/OpenPGP
/usr/share/doc/gnupg2/README
/usr/share/doc/gnupg2/THANKS
/usr/share/doc/gnupg2/TODO
/usr/share/doc/gnupg2/TRANSLATE
/usr/share/gnupg/distsigkey.gpg
/usr/share/gnupg/help.be.txt
/usr/share/gnupg/help.ca.txt
/usr/share/gnupg/help.cs.txt
/usr/share/gnupg/help.da.txt
/usr/share/gnupg/help.de.txt
/usr/share/gnupg/help.el.txt
/usr/share/gnupg/help.eo.txt
/usr/share/gnupg/help.es.txt
/usr/share/gnupg/help.et.txt
/usr/share/gnupg/help.fi.txt
/usr/share/gnupg/help.fr.txt
/usr/share/gnupg/help.gl.txt
/usr/share/gnupg/help.hu.txt
/usr/share/gnupg/help.id.txt
/usr/share/gnupg/help.it.txt
/usr/share/gnupg/help.ja.txt
/usr/share/gnupg/help.nb.txt
/usr/share/gnupg/help.pl.txt
/usr/share/gnupg/help.pt.txt
/usr/share/gnupg/help.pt_BR.txt
/usr/share/gnupg/help.ro.txt
/usr/share/gnupg/help.ru.txt
/usr/share/gnupg/help.sk.txt
/usr/share/gnupg/help.sv.txt
/usr/share/gnupg/help.tr.txt
/usr/share/gnupg/help.txt
/usr/share/gnupg/help.zh_CN.txt
/usr/share/gnupg/help.zh_TW.txt
/usr/share/gnupg/sks-keyservers.netCA.pem
/usr/share/info/gnupg.info-1.gz
/usr/share/info/gnupg.info-2.gz
/usr/share/info/gnupg.info-3.gz
/usr/share/info/gnupg.info.gz
/usr/share/locale/ca/LC_MESSAGES/gnupg2.mo
/usr/share/locale/cs/LC_MESSAGES/gnupg2.mo
/usr/share/locale/da/LC_MESSAGES/gnupg2.mo
/usr/share/locale/de/LC_MESSAGES/gnupg2.mo
/usr/share/locale/el/LC_MESSAGES/gnupg2.mo
/usr/share/locale/en@boldquot/LC_MESSAGES/gnupg2.mo
/usr/share/locale/en@quot/LC_MESSAGES/gnupg2.mo
/usr/share/locale/eo/LC_MESSAGES/gnupg2.mo
/usr/share/locale/es/LC_MESSAGES/gnupg2.mo
/usr/share/locale/et/LC_MESSAGES/gnupg2.mo
/usr/share/locale/fi/LC_MESSAGES/gnupg2.mo
/usr/share/locale/fr/LC_MESSAGES/gnupg2.mo
/usr/share/locale/gl/LC_MESSAGES/gnupg2.mo
/usr/share/locale/hu/LC_MESSAGES/gnupg2.mo
/usr/share/locale/id/LC_MESSAGES/gnupg2.mo
/usr/share/locale/it/LC_MESSAGES/gnupg2.mo
/usr/share/locale/ja/LC_MESSAGES/gnupg2.mo
/usr/share/locale/nb/LC_MESSAGES/gnupg2.mo
/usr/share/locale/pl/LC_MESSAGES/gnupg2.mo
/usr/share/locale/pt/LC_MESSAGES/gnupg2.mo
/usr/share/locale/ro/LC_MESSAGES/gnupg2.mo
/usr/share/locale/ru/LC_MESSAGES/gnupg2.mo
/usr/share/locale/sk/LC_MESSAGES/gnupg2.mo
/usr/share/locale/sv/LC_MESSAGES/gnupg2.mo
/usr/share/locale/tr/LC_MESSAGES/gnupg2.mo
/usr/share/locale/uk/LC_MESSAGES/gnupg2.mo
/usr/share/locale/zh_CN/LC_MESSAGES/gnupg2.mo
/usr/share/locale/zh_TW/LC_MESSAGES/gnupg2.mo
/usr/share/man/man1/dirmngr-client.1.gz
/usr/share/man/man1/gpg-agent.1.gz
/usr/share/man/man1/gpg-card.1.gz
/usr/share/man/man1/gpg-check-pattern.1.gz
/usr/share/man/man1/gpg-connect-agent.1.gz
/usr/share/man/man1/gpg-preset-passphrase.1.gz
/usr/share/man/man1/gpg-wks-client.1.gz
/usr/share/man/man1/gpg-wks-server.1.gz
/usr/share/man/man1/gpg2.1.gz
/usr/share/man/man1/gpgconf.1.gz
/usr/share/man/man1/gpgparsemail.1.gz
/usr/share/man/man1/gpgsm.1.gz
/usr/share/man/man1/gpgtar.1.gz
/usr/share/man/man1/gpgv2.1.gz
/usr/share/man/man1/scdaemon.1.gz
/usr/share/man/man1/watchgnupg.1.gz
/usr/share/man/man7/gnupg.7.gz
/usr/share/man/man8/addgnupghome.8.gz
/usr/share/man/man8/applygnupgdefaults.8.gz
/usr/share/man/man8/dirmngr.8.gz
/usr/bin/gpg
/usr/bin/gpgv
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