In case of someone stumble upon this error :
I'm running Catalina 10.15.7 here. I downloaded the certificate file, following these instructions :
Create a certificate signing request
When launching the certificate installer, a popup box shows up and asks in which keychain you want to install it.
I first selected iCloud keychain, then I got this error.
I launched it again and I selected the 'System' keychain location and then it worked.
(not sure why and if this will work for others but it worked for me).