Yes, I am too noob.
Now I have seen the proper way is to upload the ovpn config file into the NAS, not in the router. And I have to create the VPN connection under the NAS LAN settings.
I will test this way when I arrive at home. Now I am at work.
It will work as well, I have also tested that configuration . The only issue I had sometimes is that the NAS was loosing its connection and I had to restart the VPN connexion on the NAS itself.