You will need to re-key the request in order to get the private key on Fortigate (work for me only with internet explorer 11-wierd):
go to system -> Certificates -> Local Certificates -> Generate !
Then go to Godaddy and issue certificate with the Certificate request you created .
Download IIS certificate once it will be ready and import it to the local certificate on fortigate, You need to stand on the pending request when you import back the certificate ! to import it to admin :
#config system global #set admin-server-cert #set admin-server-cert "cert name" #end