“You will now have PFX file which is ready for transport. This file typically contains just your certificate and private key rolled into one file. Note:If you selected Include all certificates in the certification path if possible, then your file will contain the full certificate chain with the private key and end entity/domain certificate.”
Since the entire chain us selected, then yes the root CA cert of the chain that issued your site-specific cert is included. Your PFX file should actually contain at least 3 certs in total:
*-the public key cert you requested
*-the public key cert of the intermediate CA that issued your cert
*-the public key of the root CA that authorises the intermediate CA to issue any cert
It’s possible there may be extra intermediate CAs, depending on how big the chain is, and i can’t recall ever having seen such, but it is not impossible.