So it was a CM12 error.
Sorry, it's not true. I have latest CM12 version and still nothing changed. However, latest beta OpenVpn for android fixed this bug. They approved bug report and fixed it on their beta version. So, not CM12 bug, it's OpenVPN bug. It exists on clean AOSP Lollipop on Nexus as well, not on CM12 only.
There is no beta version in PlayStore yet, so you need to download and install apk to get OpenVPN working on any Lollipop system. Also, OpenVPN connect are still useless and not fixed for Lollipop.