Cannot find .p12 file in Windows 11?

You can always create an “insecure” package by not setting any password on the certificates. In the insecure package every piece of information needed is in clear text inside .ovpn file, hence the insecure characterization.

I cannot help you further as I do not have a windows OS, but I feel that you are having an unusual problem. You probably need to import the certificate from inside the OpenVPN Connect client. If you look how it works for android and iOS in my tutorial, I would assume it should be similar for windows.