As I understand, in the client system you bring up 2 connections to the external VPN server. These connections likely end up on different physical WANs (if the pfSense they go through is doing general load-balancing). Then using a download manager, the client starts sucking parts of a file, and each segment is going round-robin on those 2 OpenVPN links out of the client. Thus all segments in total can use the available bandwidth of both links.
When you are doing a single segment only, it can only go over 1 link, so only single-link speed as you describe.
"I believe you could setup 2 separate OpenVPN clients - 1 out gateway 1 to OpenVPN server A, another out gateway 2 toOpenVPN server B.
Then make gateways for the inside of each of these OpenVPN links, make a gateway group out of them with equal tier.
Then pass traffic on LAN into that gateway group.
It should be load balanced across the 2 OpenVPN links."
This is the same principle as what you have done on the client, just moving the OpenVPN client origin to be pfSense. There will be 2 OpenVPN clients on pfSense, attached to WAN1 and WAN2 respectively. Traffic is load-balanced (= gateway group with equal tier gateways) into the links.
When you use a download manager,the segments will get spread around the available links, just the same as you have done directly on the client device.