Tap the search bar and search for "certificate"

Find CA certificate in the search results and tap it.

Enter your phone password or fingerprint. 

Find the Downloads folder. 
Open the applocker folder inside of it. 

Tap the first certificate in the applocker folder. 
Take note of the certificates in this folder. Each certificate will need to be installed. 

A message will pop up briefly saying CA certificate installed.

You'll be on the Install a certificate screen again. Go through the steps from step 4 on until you have all the certificates in the applocker folder installed. 

Once all the certificates are installed you're done. 

Cloudlocker VPN Certificate Install