Update, for DSM7:
The steps to configure the OpenVPN server in pfSense (v2.6.0) remain the same as described above in the OP.
When exporting: go to Client Export and choose "Do not include OpenVPN 2.5 settings in the client configuration."
Select Inline Configuration -> Most Clients. It will export you an .ovpn file with the keys/certs built-in.
Before uploading to Synology NAS, open this file in a text editor and comment out "ncp-disable" directive, and change "udp4" to "udp" (if present).
On Synology DSM7 side, subtle changes:
In Synology NAS, go to Control Panel > Network > General > Advanced Settings button. Check "Enable Multiple Gateways".
After that go to, Network Interface > Create > Create VPN profile, choose OpenVPN. Input your username and password you've created just for this and browse for your .ovpn file. Make sure you select to restart connection if breaks. It should accept it immediately. Select the new VPN Connection and click Connect button.
As far as I noticed, there's no need to trick around anymore with starting the connection at boot, DSM 7 will automatically restart the VPN connection after it reboots, as long as you have ticked the option to reconnect when connection is lost.