Uploaded PFX files may contain a certificate-chain. i.e. A certificate with a private-key, plus one or more authority certificates.
Certificates which contain a chain are indicated by a chain icon on the certificate card, as shown below:
The details page will show the details of all certificates in the chain.
Importing Certificate Chains
When a certificate-chain is imported to one of the Windows Certificate Stores (either via the Import Certificate Step or by using the Certificate in an IIS HTTPS Binding) the authority certificates will be automatically imported into the CA or Root stores (Root if the authority certificate is self-signed, CA otherwise as it is an intermediate authority).
Note: Authority certificates will be always be imported to the LocalMachine location, even if the subject certificate is imported to a user-specific location.
This is because importing to the Root store for a specific user results in a security-prompt being displayed, which obviously doesn't work with automated deployments.
Downloading Certificate Chains
When downloading a certificate containing a chain, only downloading to the PFX format will export the chain. Downloading to PEM or DER formats will only export the subject certificate.