OK, I think I found the problem - two of them actually, and theese have to be solved before the OpenVPN would work or further troubeshooting can be done.
First issue turned out to be CentOS having a builtin firewall ( ::)) Quite embarrased I dind't catch that earlier actually. I've opened the ports now - atleast an easy solve. :P
Next issue is way more major. It seems the entire Duo Auth Proxy service is not working. It was built and installed following a procedure from Duo Security (to the letter) and there were no errors - nevertheless, the service says it's running, but it's actually not listening. - There is nothing on the server listening on port 1812. Running "netstat -plant" shows nothing on port 1812 - and telnet'ing to the server on port 1812 - gets me no connection….
So actually the problem with VPN not authenticating is quite understandable, as the RADIUS is not listening for it's requests! :-\
I've sent an supportticket to Duo Security, and I'm awaiting their response.