In KDE I have a button "Import" which can be used to import VPN connection from
How to do it in elementary OS Loki?
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In Loki, openvpn and networkmanager-openvpn are already installed.
To import an *.ovpn, you need to make sure you have certificate files separate from the *.ovpn.
Then go to System Settings -> Network -> VPN. Click the "+", then in the window that pops up, click on "Add".
In the dropdown you'll see "Import a Saved VPN connection".
Here is a python script that will do the cert separation for you https://gist.github.com/seebk/bb94a7fd70d4cc454aaa