If the SAP (server) certificate is signed by a trusted CA authority and the authority is on list of trusted authorities in Windows system, this step is not necessary. However, if the certificate is untrusted or self-signed, it must be imported as trusted to Windows certificates store, to Trusted Root Certification Authorities folder of Local Computer.
The certificate imported to SAP does not need (and should not) contain the private key, which was embedded into the .pfx file as one of the first steps described in this document. Instead, the certificate imported here should only contain certificate-wrapped public key of the server.