Symptom
Your deployed Azure application has a chained SSL certificate that you want to update. You have found that it only installed a single certificate. You also attempted a new deployment and found that a single certificate was installed.
Cause
The problem was the export from on-premise IIS; it appears that if you export using IIS, Azure doesn’t recognize the certification chain.
Resolution
Export via the MMC Certificates Snap-In and Azure recognizes the certificate chain stored in the PFX file.
More Information
How to install a chained SSL Certificate:
http://blogs.msdn.com/b/azuredevsupport/archive/2010/02/24/how-to-install-a-chained-ssl-certificate.aspx
How to Add a New Certificate to the Certificate Store:
http://technet.microsoft.com/en-us/library/gg465712.aspx