The problem is resolved. The sense of the problem was, that as described in /etc/init.d/openvpn (/sbin/service start this script),
the work=/etc/openvpn is the work folder, so shell script search all config files in this folder, if any of them exists, it run them as:
$openvpn --daemon --writepid $piddir/$bn.pid --config $c --cd $work $script_security
(Line 174) and write pid file to directory,
/var/run/openvpn. if there is no problems it creates lock file in:/var/lock/subsys/openvpn. And if lock file not exists(it means that were some problems to start config files),it returns "openvpn: service not started", and the service marks as dead in the list of services.
So lets assume the problem as resolved.