This behaviour (rejecting clients when no CCD file exists) is not the default behaviour but should be related to the use of --ccd-exclusive in the server configuration. The man page says:
--ccd-exclusive
Require, as a condition of authentication, that a connecting
client has a --client-config-dir file.
So this implies that this is considered as a simplified authentication. Hence the AUTH_FAILED message is appropriate - Authentication did fail. OpenVPN 2.x generally do easily not support a fine-grained response. Plus there are many reasons why not to give a too detailed response when authentication fails.
But I will agree that username/password failed is a bit too narrow interpretation of "authentication failed". This response is most commonly used with username/password, but not strictly related to username/password authentication. And this interpretation happens in the OpenVPN Connect client. I will follow up that with the developers internally to not mislead the end-user.