Lot of people has the same issue with setting up openvpn with SELinux enabled. Follow steps below and You will get it working.
First of all make directory in Your home (it must be .cert):
Now copy Your certs into this directory:
cp [path_co_certs]/private_key.key ~/.cert/private_key.key cp [path_co_certs]/ca.crt ~/.cert/ca.crt cp [path_co_certs]/private_cert.crt ~/.cert/private_cert.cert
Finally, just configure new VPN connection through Network Manager, choosing correct settings.
It should start, and work like a charm.