The tls-auth directive adds an additional HMAC signature to all SSL/TLS handshake packets for integrity verification. Any UDP packet not bearing the correct HMAC signature can be dropped without further processing. The tls-auth HMAC signature provides an additional level of security above and beyond that provided by SSL/TLS. It can protect against:
DoS attacks or port flooding on the OpenVPN UDP port.
Port scanning to determine which server UDP ports are in a listening state.
Buffer overflow vulnerabilities in the SSL/TLS implementation.
SSL/TLS handshake initiations from unauthorized machines (while such handshakes would ultimately fail to authenticate, tls-auth can cut them off at a much earlier point).