We recently added a few fixes to the application which heavily improve the availability of GPG encryption in the MS-Windows version. Specifically these are

KMYMoney GPG option is grayed out even though GPG installed
KMyMoney uses incorrect path to detect presence of GPG secret keyring on Windows
Overwriting a gpg-encrypted file results in a zero byte file

Newer installable versions - which should include the above mentioned fixes - can be found on openSUSE Build Service (OBS) (cross-compiled using mingw) or on the KDE Binary Factory (built natively with MSVC). The latter do not contain translations and a few plugins, though.

I am not sure, if those changes also affect the MacOS version (the one with the path change could). The latest stable version can also be found on KDE Binary Factory for you to give it a try.