With Debian Jessie, they modified a bit the starting process. I won't get into details because it is not the goal of this article.
Below, you have the proper way to enable and start openvpn.

You want to enable the gz config:

root@bubaz:~# ls -la /etc/openvpn/ | grep .conf
-rw-r-----  1 root root 3450 Feb  8  2015 gz.conf

Prior to start, you must enable it via systemctl command:

root@bubaz:~# systemctl enable openvpn@gz
Created symlink from /etc/systemd/system/multi-user.target.wants/openvpn@gz.service to /lib/systemd/system/openvpn@.service.
root@bubaz:~# systemctl start openvpn
root@bubaz:~#

Up and running:

root@bubaz:~# ps -ef|grep -i open | grep -v grep
root     10374     1  0 06:27 ?        00:00:00 /usr/sbin/openvpn --daemon ovpn-gz --status /run/openvpn/gz.status 10 --cd /etc/openvpn --config /etc/openvpn/gz.conf

That's it!