That would make sense, lets see what TAC come back with. I did find sk112214 which does mention certificate pinning, but Checkpoint is not listed.
After conducting a packet capture I found that the Fortigate was presenting its certificate to the Checkpoint, so basically we need to import the cert into the trust store on the Checkpoint device, similar to adding a certificate from a Checkpoint GW doing SSL inspection to the trust store of a browser.
I was also thinking about adding the GlobalSign Root/Intermitted CA certs (The *.checkpoint.com wildcard cert is signed by them) into the Fortigate, but without a private key this would not work., not sure if it possible to export this info from the SMS.