Because the OpenVPN tab is really an interface group consisting of all OpenVPN servers and clients on the firewall. Traffic passed by rules on an interface group tab cannot be flagged with reply-to because pf does not know which interface the traffic arrived on (it could be any interface in the group).
The firewall processes interface group rules before interface rules so the traffic must not match any rules on the group because there will be no reply-to so replies don't get directed back out the way they came in but are instead routed according to the routing table. When dealing with connections from arbitrary internet sources, this usually means they go out to the default gateway. There would be no matching state on that interface so that traffic is usually dropped. Even if it wasn't dropped and made it back to the originating host, the firewall there would probably drop the traffic because it would be sourced from a different IP address than the connection was originated to.