In the exported client config through the OpenVPN Package, there is a directive "#redirect-gateway def1"
If you remove the # then the client will send all traffic through the tunnel (except DNS).
See --redirect-gateway in OpenVPN manual 2.3 (2.3.x is version that Synology uses)
https://community.openvpn.net/openvpn/wiki/Openvpn23ManPage