Update: Azure Support informed me in 2014/07/07 that the problem described below has been fixed.
I contacted Azure support and they confirmed that this is a known service issue. According to the technology I spoke with, the fix should be deployed next week.
In the meantime, I was provided with the following workaround:
When exporting a certificate, clear the check boxes:
- Include all certificates in the certificate path, if possible
- Export all advanced properties
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