Este es el procedimiento que seguí para que funcione. Hay un error en el administrador de red en el que no hace la importación ovpn correctamente, desde 2010 (!)
https://bugs.launchpad.net/ubuntu/+source/network-manager-openvpn/+bug/606365
Hasta que eso se solucione, encontré este sitio
http://howto.praqma.net/ubuntu/vpn/openvpn-access-server-client-on-ubuntu
PROCEDIMIENTO
Create a new folder in your home dir - I called mine vpn.config
Copy your downloaded client.ovpn file into the new folder
Open client.opvn in an editor
Open a new file
Cut the lines between <ca> tags in client.ovpn
Paste into new file, save this file as ca.crt
Remove both <ca> tags from client.ovpn
Open a new file
Cut the lines between <cert> tags in client.ovpn
Paste into new file, save this file as client.crt
Remove both <cert> tags from client.ovpn
Open a new file
Cut the lines between <key> tags in client.ovpn
Paste into new file, save this file as client.key
Remove both <key> tags from client.ovpn
Open a new file - this is the last one :-)
Cut the lines between <tls-auth> tags in client.ovpn
Paste into new file, save this file as ta.key
Remove both <tls-auth> tags from client.ovpn
And remove this line:
key-direction 1
Now position the cursor in client.ovpn, right above the line # -----BEGIN RSA SIGNATURE-----
Insert the following lines
ca ca.crt
cert client.crt
key client.key
tls-auth ta.key 1
Save and close all the files.
Goto Network Manager -> Edit Connections ->VPN
click Import, browse to the modified client.ovpn in the folder you recently created - and where your certificates are, and import that file
Enter vpn username and password if prompted
On the VPN page, select Advanced
On the General Tab, uncheck the first option, "Use custom gateway"
Save
Use...