Export development certificate as p12
One point of interest: the Keychain Assistant window has a "Category" list in the lower part of the left panel. You can only export a p12 from the "Certificates" view.
In the "All" view, you can see the certificates and the keys alongside, so that they're distinct items with no possibility of multiple selection; in the Certificates view, there's a tree structure with keys as child items of certificates, so that selecting a certificate implicitly selects the corresponding private key too.
The missing .p12 option means that you only have either the private key or the certificate on your machine. You need both of these to generate a .p12 (and incidentally, you'll need both the private key and certificate to sign your apps).
So, find out which of these you're missing, add the missing piece to Keychain, and the .p12 option will be available.
You can check in your keychain whether the private key is associated with the development certificate.You can export the private key and certificate as .p12 only if it is there.