The certificate that gets exported ought to match, but only really matters if you're running the Adobe Air console.
Are you access the LEM via IP or hostname? Does the DNS name in your network match the hostname you assigned to the LEM appliance? If the name in the URL bar doesn't match the LEM hostname (because you're using the IP or a DNS mis-match) then the self-signed certificate that LEM uses will cause those browser errors. Most people just click the red link and move on.