For everyone seeing the lack of connections following upgrade from a 3.x version, 4.0.6 hopefully fixes this. If you've already experienced the problem, you may need to install and then use Settings/Utilities/Reset VPN provider files to clean up the mess your install is in. This should be a one hit thing with future upgrades working fine.Big thanks to crashnz for providing the debug I needed.
If you see this problem AFTER installing 4.0.6 and resetting the VPN provider files, then get a log with debug switched on as per the first post.
If you're having other VPN connection problems, move to 4.0.6 and reset the VPN provider files to ensure you're on the latest ovpn files. Then check the Trouble Shooting guide, because that's what I'm going to ask you to do next anyway.
Thanks Zomboided, 4.0.6 has fixed it for me!
Mark