That's for personal (client) certificates. For server certificates, unless you supply the CSR by yourself by skipping a step (IIRC, you're softly encouraged to

That's for personal (client) certificates. For server certificates, unless you supply the CSR by yourself by skipping a step (IIRC, you're softly encouraged to do so), they generate the key server-side and send it to you back. They even have a FAQ entries (##43,44, although their site is down ATM, so Google for a cached copy) about that.