@marvosa:
I'm not sure if this is only generated for routed setups, but Under VPN -> OpenVPN, in the Tunnel Settings section, there is an option for Inter-client communication with a check boxed labeled "Allow communication between clients connected to this server". If it's there, check it.
Otherwise, it looks the switch for inter-client communication generates a server option labeled:
client-to-client
you can try adding that to your advanced config box.
Also, make sure it's not just the software firewall blocking ICMP.
That was exactly the problem. I was just logging in to post that the problem is solved!
The only weird quirk now is that Clients can't see games that I host, but I can see theirs. Time for more testing! :D