Because newer Ubuntu versions are using systemd for dns resolution instead of resolvconf, you need to modify your Openvpn client config a bit.
Add following lines to your config (/etc/openvpn/myconnection.conf):
script-security 2
setenv PATH /usr/local/sbin:/usr/local/bin:/usr/sbin:/usr/bin:/sbin:/bin
up /etc/openvpn/update-systemd-resolved
down /etc/openvpn/update-systemd-resolved
down-pre
Simply add the new update script by running:
sudo apt install openvpn-systemd-resolved
Or add the script manually:
sudo wget https://raw.githubusercontent.com/jonathanio/update-systemd-resolved/master/update-systemd-resolved -P /etc/openvpn/
Server config
To route all clients over the vpn gateway add following lines to your server config:
push "redirect-gateway def1"
push "dhcp-option DNS 1.1.1.1"
push "dhcp-option DNS 9.9.9.10"
push "dhcp-option DOMAIN yourdomain.com"
FYI: You can route just single clients via your vpn gateway by adding these same lines to a client-config-dir (ccd) file.