Good evening.
To follow up on my last post and after reading all your answers, for information, I deleted the entire directory: "\Users\$USERNAME\OpenVPN\config".
I now only have ONE configuration file on my computer and it is located in the directory: "C:\Program Files\OpenVPN\config".
And I always have the popup ("There already exist a config file named" xxxxx.ovpn ". You cannot have multiple config files with the same name, even if they reside in different folders.").
I agree with cherjr, I think there is a bug.