Yes,thanks. But with openvpn-2.1_rc7 version we can build a PKCS12 file (containing certificate, key, and CA in one file) ie. Client.pkcs12.
It is a release candidate, the website says that is beta for testing and limited production use. It will not be easy as you will have to compile it yourself, for which the tools are not available (by default) on SME Server.
I would suggest you just wait as I do not see a major benefit in the PKCS12 file, nor do I see any notes mentioning this.
On top of that as far as I can judge from the changelog of OpenVPN PKCS#12 is already implemented since 2.0-beta8 (
http://openvpn.net/index.php/documentation/change-log/changelog-20x.html) which was released a few years ago. Build scripts are included later (2.0-rc15).
The latest version available through Dag is 2.0.9.