While attempting to manually set up a NordVPN connection, I had issues importing the certificate. The keychain would generate the following error:
Unable to import - Error Code -25294
According to https://apple.stackexchange.com/a/180644, the error is for No Such Keychain. Which is odd as the login keychain most definitely exists.
The solution that worked for me came courtesy of https://apple.stackexchange.com/a/372710/43748, and involves dragging and dropping the certificate into the Keychain app.
No doubt just another macOS Catalina bug.