Actually, I tried that but it only resulted in DFKai-SB being the default font for latin alphabet without affecting chinese writing at all.

btw, I'm using the German version and that window looks a little different to me:
Font-Options.jpg
As far as I can see, there are three default fonts I can change:

1. "Schriftart für asiatischen Text" (should be something like "asian text font" in English): I have not been able to permanently change this to DFKai-SB, it seems not to be affected by the default button. Everytime I reopen the window, it has jumped back to "+Textkörper asiatisch" (I really don't know what that is in English, probably something with "asian", "text" and a "+" in its name).
2. "Schriftart" (I think that's the "font" thing you related to): Does not affect Chinese writing either, only changes the default font for western texts.
3. "Komplexe Schriftzeichen" (I'd translate that with "complex characters"). Although the traditional Chinese characters are sometimes also called "complex" in German, this doesn't seem to have anything to do with Chinese because I have never been able to choose any Chinese font here. Instead the fonts I can choose vary from time to time. I have already been proposed fonts that, as far as I can see, are for Arabian writing (Microsoft Uighur ect.) but at the moment I can only choose fonts for Tibetan writing (Microsoft Himalaya and another one I installed).