Como Jim diz que os exemplos no site do OpenVPN usam # para comentários e; para comentar configurações. Não há diferença funcional, mas essa convenção facilita a identificação visual das configurações comentadas.
De link
#################################################
# Sample OpenVPN 2.0 config file for #
<snip>
# Comments are preceded with '#' or ';' #
#################################################
# Which local IP address should OpenVPN
# listen on? (optional)
;local a.b.c.d
# Which TCP/UDP port should OpenVPN listen on?
# If you want to run multiple OpenVPN instances
# on the same machine, use a different port
# number for each one. You will need to
# open up this port on your firewall.
port 1194
# TCP or UDP server?
;proto tcp
proto udp