Yes, but you wrote that you then renamed the file name (you added the ".sh" extension to the file name). And that solved the problem.
No sorry, i'll try to be more clear.
I made a new script "startVPN.sh" with this content:
/etc/init.d/openvpn start
And then i've executed the command "update-rc.d startVPN.sh defaults"
In this way all work fine