This is working as designed. As stated in the help text,
To use a certificate in a certificate-based credential, it needs to be saved in your Personal store in Certificate Manager.
Opening the certificate manager is just a way of giving you an opportunity to import the desired certificate to that particular store. I'm going to make an assumption here, that your certmgr window looks like the below screencip when you open up the Personal certificate store, and that's the problem.
Any certificate you want managed through Credential manager needs to be in that certificate store.
Once you actually have a certificate in your user's personal store, you'll be able to select it with the
Select certificate button, as in the screen clip below. (I just have the one certificate for my domain user, and it's a pain to add more, given that my normal user is not an admin on the machine, so I'm not going to jump through that hoop for a screen clip.)