Yes, I do know why now. It is the issue I have not imported the private key.
But after that, I encountered another issue. Initiation packets are being resent without the link really established.
Here is the debug log
16:45:54 ovpn,info Peer: initializing...
16:45:54 ovpn,info Peer: connecting...
16:45:54 ovpn,debug,packet sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:54 system,info device changed by admin
16:45:54 ovpn,debug,packet sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:45:55 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:55 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:45:56 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:56 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:45:57 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:57 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:45:58 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:58 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:45:59 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:45:59 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:00 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:00 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:01 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:01 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:02 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:02 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:03 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:03 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:04 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:04 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:05 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:05 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:06 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:06 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:07 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:07 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:08 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:08 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
16:46:09 ovpn,debug,packet re-sent P_CONTROL_HARD_RESET_CLIENT_V2 kid=0 sid=bfc32e3632ba228 pid=0 DATA len=0
16:46:09 ovpn,debug,packet re-sent P_CONTROL kid=0 sid=bfc32e3632ba228 pid=1 DATA len=136
........
After a whlle, it shows
16:46:29 ovpn,info Peer: disconnected <TLS failed>
16:46:29 ovpn,info Peer: terminating... - TLS failed
16:46:29 ovpn,info Peer: disconnected
From packet sniffer, I can see the server returns packets, but I am not sure what they are understood by the router,