Hi,
Please make sure you enabled managed identity in your Azure Front Door and then add role assignment for Key Vault Secret User role to the managed identity on your key vault. Once you have done this please re-try selecting your certificate.
Detailed instructions for enabling Managed Identity to your Azure Front Door and adding role assignment to your Key Vault are in below article:
Use managed identities to access Azure Key Vault certificates
https://learn.microsoft.com/en-us/azure/frontdoor/managed-identity
Please complete the above and let me know your results in a comment. If you run into any issues I will assist you further.
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP