The lack of standards in this area means that most OSes have a different way of configuring daemons/services for autostart on boot. The best way to have this functionality configured by default is to install OpenVPN as a package, such as via RPM on Linux or using the Windows installer.
If you install OpenVPN via an RPM or DEB package on Linux, the installer will set up an initscript. When executed, the initscript will scan for .conf configuration files in /etc/openvpn, and if found, will start up a separate OpenVPN daemon for each file.
The Windows installer will set up a Service Wrapper, but leave it turned off by default. To activate it, go to Control Panel / Administrative Tools / Services, select the OpenVPN service, right-click on properties, and set the Startup Type to Automatic. This will configure the service for automatic start on the next reboot.
When started, the OpenVPN Service Wrapper will scan the \Program Files\OpenVPN\config-auto folder for .ovpn configuration files, starting a separate OpenVPN process on each file.
Note: on older versions of OpenVPN GUI, the ‘config’ directory used to be a store for all configurations, and the service would just start all configurations there. As of version 2.5.0, the ‘config’ directory is for configs for the GUI component, and the ‘config-auto’ directory is for the service wrapper to auto-start configurations from.