Check out the
man page. There is a section specifically talking about --script-security and what it is used for.
We really can't tell you much more without seeing your config files. --comp-lzo needs to be enabled at both ends to make use of compressions. All the --option options can be put in your config file, by the way, so you only need to run:
$ openvpn --config /path/to/config.conf
Hope this helps.