The solution of installing VPN clients in the edge devices may work if you only have a few computers (and architectures) to support. But with lots of different devices (ranging from phones to servers) with varying needs when it comes to network policies, moving the VPN feature to the device removes policy capabilities from the network manager (no longer easily tunable at the router), not to mention the maintenance (and education) support requirements arising from such a deployment strategy.
Please add my voice to the chorus wishing for an OpenVPN support.
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