An SSL certificate must have an associated private key file, which is the PVK file if you generated the certificate request from CompleteFTP. It's possible you have a different type of private key file, or if your certificate is in PEM format it may even be in the certificate PEM file (open it and check).
From version 12.1, CompleteFTP can directly import certificates in PEM format. If the certificate's private key is not included in the PEM file, you will be prompted for it. PEM private key files are also supported from 12.1.