In first example you posted (and I would assume in all others, as it looks to me that they are just renamed files), you are trying to create PFX file out of private key and CSR, which is not possible. CSR stands for Certificate Signing Request, and that is exactly - request that needs to be signed. Once signed, it becomes certificate. You are getting warning that you have no certificate inside CSR, which is accurate.
You need to get CSR which you got out from ASA signed by your PKI. Once signed, you'll need to try again with certificate file.