Dealing with certificates on a Windows Mobile device can be somewhat of an adventure. For starters, no version of Windows Mobile supports wildcard certificates.
If you are using one of the cheaper and often times less trusted CA‘s like a RapidSSL then chances are, you will need to add the Intermediate CA to the Windows Mobile device to get the SSL certificate to work. I have personally had more success in deploying the CA certificate through a CAB file. There are some excellent directions on how to package a certificate in a CAB over at the amset.info site: http://www.amset.info/pocketpc/certificates3.asp.