Under Network > VPN > OpenVPN > [Session Name] > Options, you can set various options for the OpenVPN client. Usually, you can leave the default settings as they are. If the server uses compression, enable Use LZO data compression

If establishing a tunnel fails, try again with Use LZO data compression enabled.

The --comp-lzo option is considered deprecated from OpenVPN v2.4 and should not be used any more.

For more information, see https://community.openvpn.net/openvpn/wiki/DeprecatedOptions#Option:--comp-lzoStatus:Pendingremoval.

When using a proxy, set Protocol used for communication to the host to tcp-client.

TLS Options

Under Network > VPN > OpenVPN > [Session Name] > TLS-Options, you can set various TLS-related options. In particular, you can configure whether the remote peer certificate will be verified.
For details about these settings, refer to Configuring Open VPN Sessions or OpenVPN.