The OpenVPN CloudFormation 'recipe' is out of date and currently broken. It needs update ASAP, at the very least for the v14.2 release.
Also it was pointed out that the meaning of the docs when they say:
Once installation is complete, the server will reboot. On first boot it will prompt for the OpenVPN profile to use, in which case client should be selected.
Is not completely clear. I'm assuming that they refer to the firstboot scripts (aka inithooks) but the explict nature of the text really only applies to an ISO install.