I found a solution how to do a clean start of openvpn inside LXC.
First, in proxmox, alter /etc/pve/lxc/[ID].conf where ID is the ID of your LXC
cat >> /etc/pve/lxc/[ID].conf << EOL
lxc.cgroup.devices.allow = c 10:200 rwm
EOL
OR!!! If you want to set this option automatically for ALL LXC...