The pre-release version of 22.04 has been available for weeks now. http://cdimage.ubuntu.com/daily-live/current/
On the first question, if you enter a command at the terminal to run a graphical program, then that program will appear in its own window. That's how things are supposed to work. Then you need to the mouse into the program's window to do anything there just like you would if you launched it from the menu.
You can launch a program from the terminal and have it run in the background so the terminal prompt will be available again. Try, for instance,
and
The ampersand "&" puts the application into the background.
What purpose do you intend to use OpenVPN for? If there's not a compatible version yet available for 22.04, you just need to wait awhile or revert to 20.04. In general, don't install software from other sites; rely on the package manager that came with your distribution.
What if you type
Code:
sudo apt update
sudo apt install openvpn
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