Can I use Terminal on a Mac to enable Reported Threats Delete for Microsoft?

Yes, you can use Terminal to generate the certificate. Copy and paste the script below into a text editor. Update the section for "YourStrongPasswordHere". Then copy/paste into Terminal and run the script.  This will generate 3 files in your folder named Certificates. You will need to upload the file ending in .cer into Azure and the .pfx into the CyberNut Admin Portal.

CERT_DIR="$HOME/Certificates"
CERT_NAME="CyberNutCert"
CERT_PASSWORD="YourStrongPasswordHere"
VALIDITY_DAYS=365
mkdir -p "$CERT_DIR"
cd "$CERT_DIR"
openssl genrsa -out "${CERT_NAME}.key" 2048
openssl req -new -x509 -key "${CERT_NAME}.key" -out "${CERT_NAME}.cer" -days $VALIDITY_DAYS -subj "/CN=${CERT_NAME}"
openssl pkcs12 -export -out "${CERT_NAME}.pfx" -inkey "${CERT_NAME}.key" -in "${CERT_NAME}.cer" -password "pass:${CERT_PASSWORD}"
echo "Done. Files in: $CERT_DIR"
ls -la "${CERT_NAME}".*