That's
client specific. A client can create a .pfx file, import it. Then the pfx file is deleted -> you have to export the certificate. Or the pfx file exists -> you can use it.
If the certificate isn't imported with the "exportable" flag, you can't export it with the private key.
Check the documentation of your client:
- Option, that the pfx file is saved, not deleted.
- Option to import a certificate, so it's exportable.