You can very easily update your appliance to the latest version of OpenVPN by following these instructions:

Find the download URL to download the new package. You do not have to download it, you just need the link: using your webbrowser, navigate to Software Packages, click on Ubuntu, then copy the link for the Ubuntu 14 amd/x86 64-bit package. Use that URL in the next step.

Log on to the appliance using SSH (or directly on the console), using the root account and the password (you should have this).

Download the package using wget:wget download_URL_you_copied

This will download the package and store it in the current folder on the appliance.

Install the package:dpkg -i http://swupdate.  ...