Due to UAC and other security measures, the openvpn-gui.exe file, located in the bin folder of the client, has often to be run with administrator priviliges (Right click on the shortcut and choose always to run as administrator).
It's because the client runs some scripts after the connection is established, to route the configured network traffic.
It can be seen in the status window, there will be some "ROUTE ADD" commands, and they will fail, if the above is not set. You can get a "green light" on the client, but no traffic will be routed to the UTM, so to stay out of trouble, always let the openvpn-gui.exe run as administrator and you should be good to go [;)]