Hi there!
I got this working with iOS 10.2.1. and the OpenVPN Connect App on the iPhone. To push a "Per-App VPN" setting to an iPhone, you need a mobile device management system. See also my answer in the following post:
https://forums.openvpn.net/viewtopic.php?f=36&t=19944&p=67864#p67864
Regards!
Buscho