While configuring SSL interception, you create a keyring (let's call it 'sslintercept'). You then take the certificate of this keyring (either the self-signed certificate or the Root-CA-signed certificate) and add it to the CA Certificate list. While importing the PEM, you decide to give the certificate the same name, 'sslintercept'. But the SG returns an error stating that it already exists.
The solution is to give the CA Certificate list entry a different name. This is not a bug, but it is working as designed.