I’m trying this in 2020, and there is no export option that I can see after the screen that appears after clicking the “manage certificates…” button.
Instead of clicking that button, there’s a small gear icon in the bottom left of the accounts screen that lets you export all the “code signing assets”, but that generates a single file with the extension .developerprofile
EDIT: Make sure the mouse you connect to your Mac has the right mouse button actually mapped, because you need to right-click a certificate in order to see the export menu… 
EDIT: Now stuck at step 12, unfortunately. Unreal imports the .p12 file but then just says “no certificates found”. 