Azure IoT Hub Certificate
For those of you wanting to use the Azure IoT C# SDK, I've created a C#-based code sample that shows you how to associate OpenSSL self-signed and self-generated X509 certs with a device registered in Azure IoT Hub, and then use the certs (primary or secondary) in subsequent runtime operations - specifically sending a telemetry message.
You can choose to use either MQTT or HTTPS as your transport layer.
I've fixed this problem:
The configured CA certificate must be the azure certificate: CA Root Certificate Azure SDK. I've used the Baltimore root certificate.
The client certificate and key are correct. The SHA1 thumbprint of the client certificate must be communicated to the Azure IoT hub.
I've used Paho as Mqtt client.
Finally I've had a modem error on connecting to the server. The time inside the modem was still at default (1-1-2004) apparently, and the modem checks the time of the certificate with the current time (1-1-2004), which was invalid, so no connection could be made.