In my network and sharing centre in W7 it wont let me Identify the Network "Unidentified Network" and "No Internet Access"
For which connection?
But would my VPN be less secure or?
Changing the gateway to your local router has nothing to do with security. It's just the traffic will go thru the local internet, not thru tunnel, even that the OpenVPN is configured with traffic redirect, as I can understan.