Red Hat Certificate System, cannot export private key of certificate enrolled in IE

Solution Verified - Updated -

Issue

It does not seem possible to export the private key of a certificate enrolled with IE, and issued by Red Hat Certificate System (RHCS)' Certificate Authority (CA).
Although the certificate has an associated private key listed in the "Certificate" window in IE, with string "You have a private key that corresponds to this certificate", the popup window "Export Private Key" in IE, with label "Do you want to export the private key with the certificate?", has a greyed option "Yes, export the private key", that cannot be selected.
There is no other choice than clicking Next in that window.
Is impossible to export an existing certificate with its associated private key?

Environment

Reported on RHCS 8.0 with pki-ca-8.0.7-1.el5pki on RHEL 5.8 and Windows 7 with IE 8
Verified on RHCS 8.1 and IE9 on Windows 7

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