The rules on an interface tab apply to traffic coming IN on that interface. The first packet when a "connection/flow/session" is first started is checked by the rules, then if it is permitted, a firewall flow/state is added, and subsequent packets in both directions that match the flow/state are allowed.
Thus, to get out from LAN (to the internet…) a suitable pass rule is needed on LAN. For a connect coming from a client on the other end of an OpenVPN link, a rule is needed on OpenVPN to allow the incoming connect. Once the flow is established, the traffic in both directions for that flow "flows":)
That might be enough to give you the concept and you will be able to apply it in practice.