This doesn't make sense to me; perhaps I don't understand correctly.
As I understand it, you are setting up to use a proxy to connect to your OpenVPN server by setting the http-proxy and http-proxy-option directives in the OpenVPN configuration file.
You can connect OK, but after disconnecting, "the internet is not reachable with a proxy setup in System preferences network, until I remove the proxy settings".
I'm not sure what you mean by that. As far as I know, OpenVPN does not change the System preferences when you use the http-proxy and http-proxy-option directives. (OpenVPN changes the routing, but it restores the routing when the connection terminates.)
Tunnelblick changes the DNS settings (at OpenVPN's request), so Tunnelblick restores them. But Tunnelblick doesn't do anything with the proxy settings, so it shouldn't be responsible for restoring them.
If OpenVPN is somehow changing the System Configuration proxy settings, then OpenVPN should restore them. If it isn't restoring them, then perhaps there's a bug in OpenVPN, but it is more likely that your OpenVPN setup is misconfigured.
Please post the diagnostic info as described in
Read Before You Post, that might help find the problem.
If the System Configuration proxy settings are being changed by OpenVPN and not restored because of a bug in OpenVPN, you can probably restore them in a Tunnelblick "post-disconnect.sh" script; see
Using Scripts.