I saved my OpenVPN certificates in ~/.openvpn, imported the configuration in NetworkManager and expected it to working properly. But in Fedora SELinux prevents OpenVPN from reading the certificates and private keys from that directory. The policy expects the files in directories labeled as home_cert_t, which are by default ~/.cert/ or ~/.pki/. Ok, I copied the files accordingly and executed restorecon to make it work:

restorecon -R -v ~/.pki ~/.cert

Another way would be to label ~/.openvpn as home_cert_t:

semanage fcontext -a -t home_cert_t "/home/user/.openvpn(/.*)?'
restorecon -R -v /home/user/.openvpn