Да действительно не был включен модуль tun. Вот ответ саппорта:
To resolve this issue, you should load the 'tun' module.
We have tested the tutorial you referred to on the same OS and it worked:
modprobe tun
/etc/init.d/openvpn start
You can make it load automatically at boot by adding the modules in the file /etc/modules:
$ cat /etc/modules
# /etc/modules: kernel modules to load at boot time.
#
# This file contains the names of kernel modules that should be loaded
# at boot time, one per line. Lines beginning with "#" are ignored.
tun
Все работает, всем спасибо.