I also opened a case on this. In addition to pointing me to the doc these comments were made.
"Please note that the instructions state to install the new certificate on the Agent for SharePoint system, however this is not required. I will be opening a Doc Bug to get this removed".
"The new certificate needs to be copied to the SharePoint Server and updated per the remaining instructions in the section referenced above, so please follw the instructions in this section, but you can skip the "Install the Policy Server Signing Certificate on your Proxy Server" section."
We followed the instructions, and were successful in replacing the signing cert