Install a Certificate Authority

Go to System > Cert Manager, CAs tab and click +.

Enter these values:

Descriptive name	TestDomain VPN CA
Method	Create an internal Certificate Authority
Key length	2048
Lifetime	3650 days Ten years should be enough for now.
Distinguished name	Fill out the preferences here.
Common name	testdomainvpn-ca

Note that now there is an extra CA in the CA list.