On the server config file you must set the RSA- equivalent used on the client.conf
#Use only one of them
auth RSA-SHA256
;auth RSA-SHA384
;auth RSA-SHA512
On the client side you must set
#Use only one of them
auth SHA256
;auth SHA384
;auth SHA512
...and it's working fine (tested on v2.4.0).
I don't know why SHAxxx doesn't work in the server side, if you check the digest availability in the server side, you can see both SHA256 and RSA-SHA256:
openvpn --show-digests
The following message digests are available for use with
OpenVPN. A message digest is used in conjunction with
the HMAC function, to authenticate received packets.
You can specify a message digest as parameter to
the --auth option.
MD5 128 bit digest size
RSA-MD5 128 bit digest size
SHA 160 bit digest size
RSA-SHA 160 bit digest size
SHA1 160 bit digest size
RSA-SHA1 160 bit digest size
DSA-SHA 160 bit digest size
DSA-SHA1-old 160 bit digest size
MDC2 128 bit digest size
RSA-MDC2 128 bit digest size
DSA-SHA1 160 bit digest size
RSA-SHA1-2 160 bit digest size
DSA 160 bit digest size
RIPEMD160 160 bit digest size
RSA-RIPEMD160 160 bit digest size
MD4 128 bit digest size
RSA-MD4 128 bit digest size
ecdsa-with-SHA1 160 bit digest size
RSA-SHA256 256 bit digest size
RSA-SHA384 384 bit digest size
RSA-SHA512 512 bit digest size
RSA-SHA224 224 bit digest size
SHA256 256 bit digest size
SHA384 384 bit digest size
SHA512 512 bit digest size
SHA224 224 bit digest size
whirlpool 512 bit digest size
