Developer certificates not going to "My Certificates"

I have downloaded a Wallet certificate from my apple developer area and when I import it into my KeyChain it doesn't appear under "My Certificates".

As a consequence, when I try to export it as a p12 certificate, I don't get the option, it's greyed out, as it is just a single certificate and doesn't include my signing request.

I've seen a similar post Developer certificates not going to "… - Apple Community and have tried rebooting several times but it doesn't make any difference.

I have recently upgraded to Catalina.