If a "CollectCCC" file is generated while picking up Sectigo S/MIME products, it corresponds to the .p7s or DER format. So you can use openssl and your previously generated private key (private.key) to convert it to a .p12 or convert or combine .pfx files:
openssl pkcs7 -inform der -in CollectCCC -print_certs -out CollectCCC.pem
openssl pkcs12 -export -in CollectCCC.pem -inkey private.key -out openssl.pfx -certfile CollectCCC.pem
openssl is pre-installed on macOS. For Windows you can download Windows OpenSSL Binaries.