This bug from 3.6 is still around
From my System Log
2017-04-16T08:09:59+02:00 err openvpn(server_turris)[3559]: OpenSSL: error:02001002:lib(2):func(1):reason(2)
2017-04-16T08:09:59+02:00 err openvpn(server_turris)[3559]: OpenSSL: error:2006D080:lib(32):func(109):reason(128)
2017-04-16T08:09:59+02:00 err openvpn(server_turris)[3559]: Cannot open /etc/dhparam/dh-default.pem for DH parameters
2017-04-16T08:09:59+02:00 notice openvpn(server_turris)[3559]: Exiting due to fatal error