Hello,
When you create a SSL client Profil you have to set certificate and the whole chain.
example:
your certificate : myapp.mydomain.com
your chain: chain+root
So you can directly import your PFX from F5 GUI (System ›› File Management : SSL Certificate List ›› Import SSL Certificates and Keys) and set import type to "PKCS12".
Normaly it will import you all (cert, chain and key).
Just check after creation that your certificate contain your certificate and chain...
Next you have to create your profil ssl client and set your key and certificate following the name that you set in steps before.
Let me now if you need additional information.
Regards.