The selection of WAN1 or WAN2 in priority order is done in pfSense by making a gateway group with the required WANs listed in priority order, then telling the OpenVPN server/client to use that gateway group as its "interface". pfSense does the rest underneath to bind the OpenVPN to the "best" WANin the gateway group as conditions change. So you don't need OSPF for that.
What you say about ISPs and reach-ability is true, and that is a failure mode that could benefit from having OSPF. I have had times when SiteA cannot reach SiteB, but SiteA can reach SiteC and SiteC can reach SiteB, so there is a possible path. So yes, OSPF should learn and route around that.