Segun lo que comentas pinta a que tienes activado el split tunneling.
Eso lo puedes ver al hacer un traceroute desde tu pc hacia una ip del rango de la red de dentro del VPN y por ejemplo google (8.8.8.8)
Debes enrutar todo hacia la VPN.
https://openvpn.net/index.php/open-source/documentation/howto.html
Routing all client traffic (including web-traffic) through the VPN
Overview
By default, when an OpenVPN client is active, only network traffic to and from the OpenVPN server site will pass over the VPN. General web browsing, for example, will be accomplished with direct connections that bypass the VPN.
In certain cases this behavior might not be desirable -- you might want a VPN client to tunnel all network traffic through the VPN, including general internet web browsing. While this type of VPN configuration will exact a performance penalty on the client, it gives the VPN administrator more control over security policies when a client is simultaneously connected to both the public internet and the VPN at the same time.
Implementation
Add the following directive to the server configuration file:
push "redirect-gateway def1"
If your VPN setup is over a wireless network, where all clients and the server are on the same wireless subnet, add the local flag:
push "redirect-gateway local def1"
Pushing the redirect-gateway option to clients will cause all IP network traffic originating on client machines to pass through the OpenVPN server. The server will need to be configured to deal with this traffic somehow, such as by NATing it to the internet, or routing it through the server site's HTTP proxy.
On Linux, you could use a command such as this to NAT the VPN client traffic to the internet:
iptables -t nat -A POSTROUTING -s 10.8.0.0/24 -o eth0 -j MASQUERADE
This command assumes that the VPN subnet is 10.8.0.0/24 (taken from the server directive in the OpenVPN server configuration) and that the local ethernet interface is eth0.
When redirect-gateway is used, OpenVPN clients will route DNS queries through the VPN, and the VPN server will need handle them. This can be accomplished by pushing a DNS server address to connecting clients which will replace their normal DNS server settings during the time that the VPN is active. For example:
push "dhcp-option DNS 10.8.0.1"
will configure Windows clients (or non-Windows clients with some extra server-side scripting) to use 10.8.0.1 as their DNS server. Any address which is reachable from clients may be used as the DNS server address.
