This is something I'd love to add, but don't have time for at the moment.
Adding support for VPN via ConnMan should be trivial, it's documented in the ConnMan documentation. It's very simple to do via a service file, but time will need to be taken for us to get it done with a simple GUI, and is something I'd want to do after the My OSMC re-write. We'd also have to set up OpenVPN and ensure that it works properly.
My precious time is currently spent developing other parts of OSMC. Without sounding harsh, OpenVPN does work on OSMC, it's just not as seamless as other parts of OSMC. There are things that need fixing that don't work at all before I get a leisurely Sunday to look at something like OpenVPN support in OSMC
Thanks for your understanding