Just to close the loop on this ,
My recommendation would be to migrate the policy store at the database level by using Back Up & Restore function in Sql server.
However, you can also do this via normal XPSExport and Import procedure.
Going by this route :
1. Create new Policy store database in 2012 and initialise it with the PS config wizard.
2. Perform full xpsexport from 2008R2 Policy store
XPSExport -xb fullexport.xml -npass
3. Import policy store into the target policy store:
XPSimport fullexport.xml -npass