If you use ‘verb 6’, OpenVPN will log all messages sent or received. It might be helpful to set ‘verb 6’ on both the client and server while troubleshooting a connection problem.
From the logs you have posted, I think probably the client sends its first message; the server receives it and responds; and for some reason the response goes astray and does not reach the client process. So I think you are right - the immediate problem has to do with routing and/or firewall configuration. Perhaps another contributor can help you better than me with those.
I could make two suggestions though. Configure both firewalls (server and client) to log dropped packets. And try first to get it working with the simplest possible configuration: temporarily remove the added complexity of LTE and the 2nd WAN interface, until you achieve successful connection via the hardwired WAN.