Михаил Васильев

wget http://mirrors.kernel.org/ubuntu/pool/main/libi/libidn2/libidn2-0_2.0.4-1.1build2_amd64.deb
sudo dpkg -i libidn2-0_2.0.4-1.1build2_amd64.deb
sudo apt-mark hold libidn2-0

wget https://raw.githubusercontent.com/Microsoft/linux-vm-tools/master/ubuntu/18.04/install.sh
sudo chmod +x install.sh
sudo ./install.sh

Another possible cause is that the windows firewall is blocking access for the openvpn.exe binary. You may need to whitelist (add it to the "Exceptions" list) it for OpenVPN to work.