After many trials with ChatGPT it resolved it, here is it:
// Instead of this:
request.ClientCertificates.Add(new X509Certificate2(CertPath, CertPwd));
// Use this:
request.ClientCertificates.Add(new X509Certificate2(CertPath, CertPwd, X509KeyStorageFlags.MachineKeySet | X509KeyStorageFlags.PersistKeySet));