Hi there!
This is quite an old thread, but 'cause I was faced with the same problem and finally got the solution, I'd like to post it here:
To make "Per-App VPN" working together with an OpenVPN Server, you have to add the following key-value-pair to your .mobileconfig file inside the VPN dictionary:
<key>ProviderType</key>
<string>packet-tunnel</string>
The default value (if not explicit set) of "ProviderType" is "app-proxy" which doesn't run. See also my answer in the following post:
https://forums.openvpn.net/viewtopic.php?f=36&t=19944&p=67864#p67864
Regards!
Buscho