Because NetworkManager can't read the new way of OpenVPN to create client config files.
This little tool will split the file.ovpn into 4 files (.ca.pem, .cert.pem, .key.pem, .tls-auth.pem) so you can directly link them in your NetworkManager configuration UI.
Download your .ovpn file, then
ovpnsplit file.ovpn
and you should have
file.ovpn.ca.pem
file.ovpn.cert.pem
file.ovpn.key.pem
file.ovpn.tls-auth.pem
Right now, it is based on .ovpn files created by the kylemanna/openvpn docker container, which handle tls-auth and stuff. Your .ovpn file might differ and you might not get all those files.