You should select the option to Create a New Certificate and then the option to Prepare the request now, but send it later.
Then the wizard will prompt you to save the cert request to a text file which you then provide to the third-party when requesting one. If you already have a certificate purchased and installed on the local server, you can simply apply it to the OCS services using the Certificate tab under each server role's properties. But if you didn't create the original request correctly (e.g. SIP domains included in the SAN) then you may need to run through the process again.