OpenVPN Getting Blocked by FW

[qwerty123]

I'm having a weird issue and I don't know if it's an OpenVPN question or maybe a firewall question. Figured I would start here.

I have an OpenVPN Client running on my firewall with the provider being PIA. I have a vlan configured so all the traffic on the machines on that vlan get routed through the openvpn client. Everything works; web browsing works, I can ping, I get an IP from the PIA provider on that vlan.

Here's the odd thing. In my firewall logs, I see blocks:

Interface: WAN
Rule: Default deny rule IPv4
Source IP: <pia server IP>:1198
Destination IP: <wan ip>:54155
Protocol: UDP

In the firewall logs, it looks like it's denying part of the connection, but yet I see nothing in the OpenVPN Logs and things look like they're working.

Should I create a rule on the WAN interface that looks like the following?

Interface: WAN
Source IP: *
Src Port: 1198
Dest IP: WAN IP
Dest Port: *
Protocol: UDP

I'm not sure if I should do that, or if the blocking is just normal because it's UDP traffic. Or maybe I don't have a NAT rule setup right? Thanks in advanced!