Pi-hole working with OpenVPN but not working without it

If have doubts about settings being pushed by router to clients, try install nmap on Pi-hole:

sudo apt install nmap

And do a dhcp-discovery against the router that does DHCP for your clients with below one:

sudo nmap -sU -p67 --script dhcp-discover <ROUTER_IP_ADDRESS>

Example with 10.0.0.2 doing DHCP for my network:

xbian@avr ~ $ sudo nmap -sU -p67 --script dhcp-discover 10.0.0.2

Starting Nmap 7.40 ( https://nmap.org ) at 2019-02-21 06:31 CET
Nmap scan report for noads.dehakkelaar.nl (10.0.0.2)
Host is up (0.00066s latency).
PORT   STATE SERVICE
67/udp open  dhcps
| dhcp-discover:
|   DHCP Message Type: DHCPACK
|   Server Identifier: 10.0.0.2
|   Subnet Mask: 255.255.255.0
|   Broadcast Address: 10.0.0.255
|   Domain Name Server: 10.0.0.2
|   Domain Name: dehakkelaar.nl
|   Hostname: avr
|_  Router: 10.0.0.1
MAC Address: B8:27:EB:EE:1B:BD (Raspberry Pi Foundation)

Nmap done: 1 IP address (1 host up) scanned in 4.20 seconds