Using OpenVPN on Windows instead of VPN apps: missing certificate

Sorry this might be a noob question, but I subscribed to a VPN provider which ships its own app on Windows. Now I thought I’d prefer to use the OpenVPN client app instead.

I create a profile by providing it with a .ovpn file, which contains a block and a block as well.

Upon connecting, OpenVPN fails with “Connection Error. Missing external certificate“.

All those different certificates are quite abstract to me, but I think it needs a “client certificate”. Is it something created for my profile by the VPN provider when I registered? Or can I generate it myself? When trying to add a certificate in the Windows OpenVPN app, I am asked for .p12 files. Also, when hitting “continue” (without external certificate), the connection never establishes.

For comparison, when putting .ovpn file in Linux in Network-Manager, it works out of the box.

What is the missing step or package? It’s never made clear on the VPN provider help pages.