It depends. If it's the same box and you can get root from exploiting OpenVPN than nothing. But if you are doing this correct - running OpenVPN on non-critical server that serves as entry point for the rest of the network than you just got yourself extra layer of security. It's like probability that there are two bombs on the plane.

Well, my point is, why anyone would leave SSH open like that on critical server. Don't want to set up whole VPN or using things like port-knocking? Just configure your damn firewall to accept only connections from your IP. Wow, I mean, there's million things I can think of to minimize your risk from single ssh 0-day exploit and I'm not even sys admin.