Why doesn't the PKCS#12 file in my OpenVPN configuration file work the same as on desktop systems?
PKCS#12 files on Android are used somewhat differently than on desktop versions of OpenVPN. In desktop versions, PKCS#12 files can be bundled or referenced in the OpenVPN profile. On Android, however, PKCS#12 management is built into the Android Keychain. This approach is much better from a security perspective, because the Keychain can then leverage on hardware features in the device such as hardware-backed keystores. However, it does require that the PKCS#12 file is loaded into the Android Keychain as a separate step from importing the OpenVPN profile. It also moves the responsibility for managing PKCS#12 files to the Android Keychain, and away from OpenVPN, so it can potentially introduce compatibility issues.
To use a PKCS#12 file on Android, see the FAQ item above: How do I use a client certificate and private key from the Android Keychain?