I see from the case notes you guys are a little confused and hopefully get a follow-up from support.
Regarding .cer vs. .pem (you have exported it as .cer from MS but support specified to use .pem), you can convert from .cer to .pem by opening the cert - How to Convert a PKCS #7 Certificate to PEM Format - you do want to be sure to include all certificates in the path, that way your parent cert is also included (so the LEM side has both your cert signer's cert AND the child cert for the LEM system itself). You might try that and see if it makes a difference.
So:
1. On LEM, export cert request
2. Sign the cert request
3. Export the cert from your server's side (you've done everything to this point already so I don't think you need to do it again)
4. Convert the .cer you exported to .pem
5. On LEM, try importcert again
Same error?