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Azure Hosted Service Bus : “The X.509 certificate CN=servicebus.windows.net is not in the trusted people store.”

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Using Azure SDK 2.3 on my vs2013 development VM I can consume Service Bus queues **hosted in Azure** painlessly. However, on Windows Server 2008 R2 Standard SP1, it looks like Windows can not trust the involved certificates and an exception is thrown.

The line that throws :
// Send the message
await queueclient.SendAsync(message);
Exception message :

The X.509 certificate CN=servicebus.windows.net is not in the trusted
people store. The X.509 certificate CN=servicebus.windows.net chain
building failed. The certificate that was used has a trust chain that
cannot be verified. Replace the certificate or change the
certificateValidationMode. A certificate chain could not be built to a
trusted root authority.

The CAPI2 logs (attached below) pointed to a trust issue so I compared certificates installed on both machines. The following certificates are absent on the server :  

Intermediate Certification Authorities > Microsoft Internet Authority (Issued by Baltimore CyberTrust Root)
 
Intermediate Certification Authorities > MSIT Machine Auth CA 2 (Issued by Microsoft Internet Authority)

The questions :

 1. Where does the certificates come from?
 2. Why are they missing from the server?
 3. How to fix this issue?

Possible trails :

 1. Install Azure SDK 2.3 for Visual Studio 2013 on the server
 2. Install all Windows Updates on the server

I tried :
<appSettings><add key="Microsoft.ServiceBus.X509RevocationMode" value="NoCheck"/></appSettings>
---

CAPI2 Verify Chain Policy event :

    <Event xmlns="http://schemas.microsoft.com/win/2004/08/events/event">
      <System>
        <Provider Name="Microsoft-Windows-CAPI2" Guid="{5bbca4a8-b209-48dc-a8c7-b23d3e5216fb}" />
        <EventID>30</EventID>
        <Version>0</Version>
        <Level>2</Level>
        <Task>30</Task>
        <Opcode>0</Opcode>
        <Keywords>0x4000000000000001</Keywords>
        <TimeCreated SystemTime="2014-06-11T19:57:38.998656000Z" />
        <EventRecordID>5642</EventRecordID>
        <Correlation />
        <Execution ProcessID="5280" ThreadID="8472" />
        <Channel>Microsoft-Windows-CAPI2/Operational</Channel>
        <Computer>ne-r026-310cn</Computer>
        <Security UserID="S-1-5-82-1758914132-2364927631-3137608320-3227192193-3717738432" />
      </System>
      <UserData>
        <CertVerifyCertificateChainPolicy>
          <Policy type="CERT_CHAIN_POLICY_BASE" constant="1" />
          <Certificate fileRef="3E560462C61B45BE1A59F1286B34A065A878AFA0.cer" subjectName="servicebus.windows.net" />
          <CertificateChain chainRef="{19B5F58A-FA37-4213-A888-C81C340D019C}" />
          <Flags value="1000" CERT_CHAIN_POLICY_IGNORE_PEER_TRUST_FLAG="true" />
          <Status chainIndex="0" elementIndex="-1" />
          <EventAuxInfo ProcessName="w3wp.exe" />
          <CorrelationAuxInfo TaskId="{F8DE43DD-9E68-461E-8A2B-17215BA87E0C}" SeqNumber="1" />
          <Result value="800B010A">A certificate chain could not be built to a trusted root authority.</Result>
        </CertVerifyCertificateChainPolicy>
      </UserData>
    </Event>

CAPI2 Build Chain event :

    <Event xmlns="http://schemas.microsoft.com/win/2004/08/events/event">
      <System>
        <Provider Name="Microsoft-Windows-CAPI2" Guid="{5bbca4a8-b209-48dc-a8c7-b23d3e5216fb}" />
        <EventID>11</EventID>
        <Version>0</Version>
        <Level>2</Level>
        <Task>11</Task>
        <Opcode>2</Opcode>
        <Keywords>0x4000000000000003</Keywords>
        <TimeCreated SystemTime="2014-06-11T19:57:38.998656000Z" />
        <EventRecordID>5641</EventRecordID>
        <Correlation />
        <Execution ProcessID="5280" ThreadID="8472" />
        <Channel>Microsoft-Windows-CAPI2/Operational</Channel>
        <Computer>ne-r026-310cn</Computer>
        <Security UserID="S-1-5-82-1758914132-2364927631-3137608320-3227192193-3717738432" />
      </System>
      <UserData>
        <CertGetCertificateChain>
          <Certificate fileRef="3E560462C61B45BE1A59F1286B34A065A878AFA0.cer" subjectName="servicebus.windows.net" />
          <ValidationTime>2014-06-11T19:57:38.998Z</ValidationTime>
          <AdditionalStore />
          <ExtendedKeyUsage />
          <Flags value="0" />
          <ChainEngineInfo context="machine" />
          <AdditionalInfo>
            <NetworkConnectivityStatus value="1" _SENSAPI_NETWORK_ALIVE_LAN="true" />
          </AdditionalInfo>
          <CertificateChain chainRef="{19B5F58A-FA37-4213-A888-C81C340D019C}">
            <TrustStatus>
              <ErrorStatus value="10000" CERT_TRUST_IS_PARTIAL_CHAIN="true" />
              <InfoStatus value="0" />
            </TrustStatus>
            <ChainElement>
              <Certificate fileRef="3E560462C61B45BE1A59F1286B34A065A878AFA0.cer" subjectName="servicebus.windows.net" />
              <SignatureAlgorithm oid="1.2.840.113549.1.1.5" hashName="SHA1" publicKeyName="RSA" />
              <PublicKeyAlgorithm oid="1.2.840.113549.1.1.1" publicKeyName="RSA" publicKeyLength="2048" />
              <TrustStatus>
                <ErrorStatus value="0" />
                <InfoStatus value="2" CERT_TRUST_HAS_KEY_MATCH_ISSUER="true" />
              </TrustStatus>
              <ApplicationUsage>
                <Usage oid="1.3.6.1.5.5.7.3.2" name="Client Authentication" />
                <Usage oid="1.3.6.1.5.5.7.3.1" name="Server Authentication" />
              </ApplicationUsage>
              <IssuanceUsage />
            </ChainElement>
          </CertificateChain>
          <EventAuxInfo ProcessName="w3wp.exe" />
          <CorrelationAuxInfo TaskId="{9077AB4E-95E3-449B-AF2F-0BF42E92E6B7}" SeqNumber="11" />
          <Result value="800B010A">A certificate chain could not be built to a trusted root authority.</Result>
        </CertGetCertificateChain>
      </UserData>
    </Event>

CAPI2 X509 Objects event :

    <Event xmlns="http://schemas.microsoft.com/win/2004/08/events/event">
      <System>
        <Provider Name="Microsoft-Windows-CAPI2" Guid="{5bbca4a8-b209-48dc-a8c7-b23d3e5216fb}" />
        <EventID>90</EventID>
        <Version>0</Version>
        <Level>4</Level>
        <Task>90</Task>
        <Opcode>0</Opcode>
        <Keywords>0x4000000000000200</Keywords>
        <TimeCreated SystemTime="2014-06-11T19:57:38.998656000Z" />
        <EventRecordID>5640</EventRecordID>
        <Correlation />
        <Execution ProcessID="5280" ThreadID="8472" />
        <Channel>Microsoft-Windows-CAPI2/Operational</Channel>
        <Computer>ne-r026-310cn</Computer>
        <Security UserID="S-1-5-82-1758914132-2364927631-3137608320-3227192193-3717738432" />
      </System>
      <UserData>
        <X509Objects>
          <Certificate fileRef="3E560462C61B45BE1A59F1286B34A065A878AFA0.cer" subjectName="servicebus.windows.net">
            <Subject>
              <CN>servicebus.windows.net</CN>
            </Subject>
            <SubjectKeyID computed="false" hash="BD41618C22D8DBEE9D172C12A2C549D61711ED75" />
            <SignatureAlgorithm oid="1.2.840.113549.1.1.5" hashName="SHA1" publicKeyName="RSA" />
            <PublicKeyAlgorithm oid="1.2.840.113549.1.1.1" publicKeyName="RSA" publicKeyLength="2048" />
            <Issuer>
              <CN>MSIT Machine Auth CA 2</CN>
              <DC>redmond</DC>
              <DC>corp</DC>
              <DC>microsoft</DC>
              <DC>com</DC>
            </Issuer>
            <SerialNumber>70DB015B000100008C58</SerialNumber>
            <NotBefore>2013-07-27T03:31:06Z</NotBefore>
            <NotAfter>2015-07-27T03:31:06Z</NotAfter>
            <Extensions>
              <KeyUsage value="B0" CERT_DIGITAL_SIGNATURE_KEY_USAGE="true" CERT_KEY_ENCIPHERMENT_KEY_USAGE="true" CERT_DATA_ENCIPHERMENT_KEY_USAGE="true" />
              <ExtendedKeyUsage>
                <Usage oid="1.3.6.1.5.5.7.3.2" name="Client Authentication" />
                <Usage oid="1.3.6.1.5.5.7.3.1" name="Server Authentication" />
              </ExtendedKeyUsage>
              <SubjectAltName>
                <DNSName>*.servicebus.windows.net</DNSName>
                <DNSName>servicebus.windows.net</DNSName>
              </SubjectAltName>
              <AuthorityKeyIdentifier>
                <KeyID hash="EBDB115EF8099ED8D6629CFD629DE3844A28E127" />
              </AuthorityKeyIdentifier>
            </Extensions>
          </Certificate>
          <EventAuxInfo ProcessName="w3wp.exe" />
          <CorrelationAuxInfo TaskId="{9077AB4E-95E3-449B-AF2F-0BF42E92E6B7}" SeqNumber="10" />
        </X509Objects>
      </UserData>
    </Event>

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