I had the same issue with the caseta-bridge.crt not created. I had a different error. While troubleshooting I wondered if assigning a static IP by MAC address at the router was an issue. I had a standard bridge at first and upgraded to a pro. I kept the same IP but the MAC changed. I removed the devices, then the home in the lutron app. After that I chose a different static IP for the new pro bridge and it worked.
Traceback (most recent call last):
File "/usr/src/homeassistant/homeassistant/config_entries.py", line 231, in async_setup
result = await component.async_setup_entry(hass, self) # type: ignore
File "/usr/src/homeassistant/homeassistant/components/lutron_caseta/__init__.py", line 75, in async_setup_entry
await bridge.connect()
File "/usr/local/lib/python3.8/site-packages/pylutron_caseta/smartbridge.py", line 51, in connect
await self._login()
File "/usr/local/lib/python3.8/site-packages/pylutron_caseta/smartbridge.py", line 360, in _login
self._reader, self._writer = await self._connect()
File "/usr/local/lib/python3.8/site-packages/pylutron_caseta/smartbridge.py", line 64, in _connect
res = await open_connection(hostname,
File "/usr/local/lib/python3.8/site-packages/pylutron_caseta/leap.py", line 15, in open_connection
connection = await asyncio.open_connection(host, port,
File "/usr/local/lib/python3.8/asyncio/streams.py", line 52, in open_connection
transport, _ = await loop.create_connection(
File "/usr/local/lib/python3.8/asyncio/base_events.py", line 1025, in create_connection
raise exceptions[0]
File "/usr/local/lib/python3.8/asyncio/base_events.py", line 1010, in create_connection
sock = await self._connect_sock(
File "/usr/local/lib/python3.8/asyncio/base_events.py", line 924, in _connect_sock
await self.sock_connect(sock, address)
File "/usr/local/lib/python3.8/asyncio/selector_events.py", line 494, in sock_connect
return await fut
File "/usr/local/lib/python3.8/asyncio/selector_events.py", line 526, in _sock_connect_cb
raise OSError(err, f'Connect call failed {address}')