You can look at the configuration file by selecting the configuration in the list on the left side of the "VPN Details" window, then clicking the little "gear" icon at the bottom of the list and clicking "Edit OpenVPN Configuration File" (or "Examine OpenVPN Configuration File", if the configuration is "Shared" instead of "Private").
If the file has "redirect-gateway", you can force OpenVPN to ignore it by putting a semicolon (";") character at the start of the line.
If the file doesn't have "redirect-gateway", the OpenVPN server must be "pushing" it to your computer. You will need to contact the person or organization that maintains the OpenVPN server. Some organizations require you to have everything go through the VPN for security reasons.
Note: you can only edit "Private" configurations, not "Shared" configurations, so to edit a Shared configuration you must change it to be Private, edit it, and then change it back to "Shared". You can change back and forth between Private and Shared using the corresponding command that is displayed when you click the little "gear" icon.