The following is based on OSX Yosemite 10.10.5.
1. Login to the web admin and click the Download Root Certificate button under SSL Inspector > Configuration. Click the Download Root Certificate button. That will save the root_authority.crt file to your computer.
2. Open up Keychain Access by searching it on Spotlight (clicking the Magnifying glass located on the upper right corner).
Select File > Import Items. Navigate to the file downloaded. Select System as destination Keychain.
3. Enter password when prompted.
4. Logoff to take effect.