I see no reason to use a commercial CA for OpenVPN; it does make the roll-out of the clients any easier, nor more secure. It's rather easy to make it *less* secure, as with a commercial CA you will always end up with sub-CAs and the likes - it's easy to make a mistake with that.
Does OpenVPN have similar certificate database bundled?
no it does not; you could bundle up a set of public certificates and include them.
Or is it able to check CA cert against OS certificate database? Most of my clients will be using Windows, and it has a list of trusted CAs. Is it accessible for OpenVPN?
openvpn can check certificates against either a single .pem file or against a directory containing CA certs ; it is not possible to check CA certs against the OS certificate database.
If not, are there any more reasonable reasons to use commercial certificate?
not that I can think of 🙂
And bonus question: Is it possible to perform sniffing inside VPN? I have checked on my own that it's impossible but I might be wrong somewhere, so I would like to be sure. 🙂
you mean decrypt the encrypted VPN traffic? no that is not possible, unless your ciphers are too weak (the OpenVPN defaults are strong enough for day-to-day use).
