External PKI implies that OpenVPN Connect client uses 'external certificate' compared to its configuration 'profile', the .ovpn file that can also have inline PEM ceritificates.
In my understanding, this external PKI can be a certificate inside Windows crtmgr or macOS Keychain certificate stores (or those in mobile devices). In case of Windows, it's easy and it works. macOS is an another story.
Currently (as 2020-04) Catalina is the latest macOS release and it has only CryptoTokenKit (CTK) framework, Tokend is gone. When using hardware security modules (HSM), smartcards, USB-tokens, those do not appear in Keychain anymore like they did with Tokend. Don't understand why. And if this 'external PKI' is really looking that certificate from Keychain, this is a problem.
https://openvpn.net/vpn-server-resources/external-public-key-infrastructure-pki/
says
On the client, the server-locked profile can only be used to make a VPN
tunnel connection if a suitable client certificate/key pair has already
been installed into the host OS Keychain or certificate/key store. Some
hardware devices or tokens contain a certificate inside that is registered
with the certificate store with additional software when the token
device/card is plugged in.
and from rest of the page and what I've read elsewhere, I guess that this missing Alias is name that would map that certificate inside Keychain to given connection attempt. Not sure thou.
In my understanding, the real problem is that Connect client is looking certificates from Keychain and Apple's switch to CTK broke it. Even those hardware tokens are working in system, they don't appear in Keychain. I was looking solutions to undo this change and stumbled to keychain-pkcs11 which says:
https://github.com/kenh/keychain-pkcs11/blob/master/man/keychain-pkcs11.man
will provide two virtual PKCS#11 slots. The first slot will provide all
identities that are available from connected SmartCards. The second slot
will provide an interface to certificates stored in the operating system
Keychain.
which is not exactly what I was looking for. It provides those Keychain certs outside to pkcs#11 plugin, but doesn't fill HSM certs to Keychain.
A bit hard to solve problem once you're exactly sure did I understand the actual problem picture correctly, let alone figure out the solution to it. :)