I have made the first rule (mycomputer > OpenVPN > ANY = allowed) and second rule (mycomputer > ANY > ANY = blocked). See image below:

Currently all ports are failing closed except port 80 and 443. I assume that this has something to do with the way the UTM does web filtering and how rules are processed. How can I fix this so it will not allow traffic out unless its over my VPN for port 80 and 443. I might also add that within web protection > filtering options > misc I added my system to the "Skip transparent mode source hosts/nets" list. I thought this allowed me to skip web filtering and send the traffic directly to the firewall ruleset list but I guess I am wrong. Thanks for any help all.
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