Any certificate requires the intermediate certificate to be installed.
Your error indicates the intermediate certificate has not been installed or incorrectly installed.
Step 1: Download the Intermediate Certificate
Select the correct Intermediate Certificate for your certificate type: INFO1384
Step 2: Create a Certificate Snap-in in the Microsoft Management Console (MMC) to manage your certificates:
Note: If your site still has the chaining error, restart the IIS service. If the problem continues, the whole server needs a reboot to use the new intermediate.
Also, open and close any browser you had open before doing the above that was giving you the chaining error, to prevent any browswer caching issues from showing the incomplete chain.