Yet another issue where search engine results did not include the fix on the first page of results.
For the search engines.

There are many causes for this error, "WARN: could not open database for 4096 bits. Skipped"

In this case, the error was cause by importing a configuration files (*.ovpn) from windows, which had the ^M^J EOL terminator instead of just a ^J.

The fix was simple:
# sed -ie 's/\r//' /etc/openvpn/your-config-file.conf

Or, for multiple confs, assuming bash/sh as your root shell:

# for i in /etc/openvpn/*.conf ; do sed -ie 's/\r//' $i ; done

There are other tools to convert MS-DOS End-of-line terminators to Linux/*nix, but the above sed should be more widely available on more *nix systems.