In order to chain the certificate the file needs to be exported in either FORMAT(PKCS7DER) or FORMAT(PKCS7B64). The difference is that PKCS7DER is encrypted while PKCS7B64 is text. This will put the entire signing chain into one dataset. This is called a Certificate Package.
TSS EXPORT(acid) DIGICERT(certificate) DCDSN(data set) FORMAT(PKCS7B64 or PKCS7DER)