I had used PuTTY’s pageant when I installed gpg4win, discovering that Kleopatra serves the PuTTY keys instead. That’s all fine.
However after some time I created a new SSH key, and then I realized that (in contrast to pageant) I seemingly have no way to manage (e.g. view, add, remove, change passphrase) the SSH keys with Kleopatra. Am I missing something, or is it the way it should be?
With Gpg4win you can “only” manage OpenPGP keys and S/MIME certificates like stated at the website Gpg4win - Features. So, yes it’s the way it should be 
on a side note: you can also use your OpenPGP key for login with SSH (use gpg --export-ssh-key <key ID> to see what to add to your authorized keys, and configure gpg-agent accordingly). this is especially usefull when your keys are securely stored on a smartcard instead of your file system.