For anyone looking for this answer.
I found that Azure APIM cannot use a certificate that is RSA-HSM backed stored as a cert in [premium] Azure Key Vault.
In key Vault \ certificates, I generated new, creating a new CSR with defaults (size 2048 and RSA), and then used this CSR to get by CA provided cert.
I completed the merge signing request for that cert, then selected this cert from APIM custom domain which then worked.
Note your APIM via its managed identity can access the key vault with RBAC roles - so long as your NSG \ firewall permits the traffic.