Just one thing :
What I do :
1. Add cphub.net to Package Manager
2. Install Bootstrap Installer (with Entware) and IPKGui
3. Launch IPKGui and find openvpn-openssl package and mark to install
4. Waiting for install
5. Upload via SCP ovpn file on NAS
6. connect to nas via SSH and insert command
/opt/sbin/openvpn --config mysuperfile.ovpn
Everithing is working fine now.
Otherwise, personal thought, it's still crazy that a company like Synology doesn't do anything about it. On Qnap NAS, even old ones, the packages are still newer. Just put the file and voilà !
Thanks to all of you