This article explains how to generate a certificate signing request on the SonicWall, submit it to a certification authority and install the local certificate as well as root and intermediate CA certificates.
Navigate to System | Certificates and click "New Signing Request" at the bottom of the page.
Insert your certificate details in the new window and click Generate.
Now download the new file created.
Open the .p10 file with a utility like Notepad++ or WordPad and copy the content.
Go to the certification authority website and submit a new CSR: paste the content previously copied and click Submit CSR.
Now you will get your signed public certificate/key (local certificate) and the CA certificate (or more CA certificates).
In the SonicWall (System | Certificates) click on the button next to the CSR previously created.
In the new window, import your signed public certificate/key (local certificate) and click Upload.
Now you will see the CSR disappearing and the local certificate will be displayed in the certificates list but it's not validated.
To validate the certificate
Under System | Certificates, click Import at the bottom of the page.
In the new window, select Import a CA certificate, choose the CA certificate and then click Import.
Now the local certificate will be displayed as validated and it can be used for SSLVPN, administration page, IPSec VPNs, DPI-SSL, etc.
NOTE: If the certificate is still showed as "Not Validated", make sure that the CA certificate has been installed as well as the intermediate CA certificates if any. To see if there are intermediate CAs, open the local certificate and click on Certification Path, here you will see the certificate chain.