After some reading I understood that OpenSSL does have AES-NI built in and it will try to use it when available on chip, it doesn't need any kernel module to be loaded.
I believe the documentation should include the above info, and clarify possible scenarios on Advanced - Miscellaneous - Cryptographic Hardware settings, for example:
With AES-NI chip
When "none" or "AES-NI CPU": OpenVPN will use OpenSSL built-in AES-NI support.
When "BSD cryptodev": OpenVPN will use ASE-NI trough BSD Cryptodev.
… that is if I actually understood correctly.
Cheers