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From above description I could understand that you have Generated a CSR from Azure Key vault and got it signed by the Digicert CA. In response to the CSR you have got a full certificate chain (Primary domain, intermediate and trusted root certificate) now you are trying to merge the signed request.
Please do correct me if this is not the case by responding in the comments section.
Once CSR is uploaded, kindly download the certificate chain as .P7B file from DigiCert and upload it in merge signed request and Azure Key Vault will merge the entire chain.
Thanks,
Akshay Kaushik
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