Found the problem, sort of, and it's not with pfSense (never really thought it was to be honest).
In the GUI version of NetworkManager it shows the VPN connection as down every time I connect, but if I connect manually in the terminal with the exact same credentials the connection is up, and I think I know the reason why.
I use an external dongle to get ethernet on my utrabook. NetworkManager does not see the card, not in the GUI or in "nmtui". Still it has a driver and is working obviously. So because the Ethernet interface is not present in NetworkManager, then it seems it cannot use that interface to establish the connection, which seem logical.
Before I set up pfSense I always used the Wireless interface to connect to NordVPN, and that is present both in the GUI and in nmtui.
The strange thing is that it is NetworkManager that manages my network connections, and when NetworkManager stars in boot up and the dongle is connected the interface works and gets a name if you look it up in the terminal with "ip a", yet the interface does not show up in "nmtui" or the GUI version of NetworkManager. Oh well, as long as it works.