I would recommend just using the command-line scripts, such as openvpn <settings-file>.
Please give it a try, I will help you after you have tried yourself.
> I've setup the proxyVM and added the network-manager service in the vm's
> configuration.
>
> The docs next say to:
>
> "3. Setup your VPN as described in the NetworkManager documentation
> linked above."
>
> When I try and configure a VPN in the icon in the window manager tray I
> think it's setting up the vpn for sys-net. Is there a way to start the
> NetworkManager service for the proxyVM? Do I start the
> NetworkConnections app? I think this is a user error issue but I can't
> seem to get the proxyVM's networking setup.
internetz.me has put together two very good video tutorials of setting up a vpn using both methods in the docs
https://www.youtube.com/watch?v=wYEmDZebow4
https://www.youtube.com/watch?v=K1_zqT7_N7k