Do you also have a *provisioning profile* with this certificate in it in the Keychain directory ?

To sign an iOS app you need 3 things:

- A provisioning profile
- A certificate
- A private key

Provisioning profiles allow the app to be accepted in the Apple ecosystem. They must contain at least one certificate, which must be stamped in your app at code signing time using its associated private key. These latter 2 together make your "signing identity".

If a provisioning profile can't be selected, it's because none of the certificate it has have an associated private key in the Keychain directory.