How to use built-in OpenVPN client on ASUS RT-AC66U router?

I have a Linux with OpenVPN server installed and when I connect to it from my PC over OpenVPN client everything works just fine. So, all parts are in place. Now I tried to use built-in OpenVPN client on ASUS RT-AC66U router following the How to set up VPN Client in ASUS router manual. Just to have the same terms in the question below: All web sites - any site on the web Restricted sites - sites visible from my network (via my provider) without VPN. Blocked sites - sites not visible from my network, but visible via VPN from another provider. I get connected and got the tick icon in ASUS router

Question by Damir Tenishev on Super User, licensed CC BY-SA. We show a short excerpt and link to the original thread as credit.