I have the same problem. I was going to post a this question too along with another question.
When I first boot up my OpenBSD 4.1 sever. I can not access my OpenVPN wireless connection. I can access ssh wirelessly though. So what I do is login via ssh and run pfctl -f /etc/pf.conf. Now my OpenVPN connection works just fine. I too have my startup script in /etc/rc.local but it is much simpler: /usr/local/sbin/openvpn /var/openvpn/server.conf I am curious to know why pf requires a command line start for it to work.
