Hey ulmwind! Thanks for your write up on setting openvpn on openwrt...i used the one published on surfshark...
however i had the exact issue as @waz and i figured the issue is due to the default physical settings on the lan interface...
the simple fix is to go to Physical Setting tab on interface page (on LuCI) and adding Wlan0 and Wlan1 (or any other name given for the wlan / radio) to the interface...
that way both 'eth' as well as 'wlan' traffic will go through the vpnfirewall...