The document is a little bit old, especially the part of "Generating Keys and Certificates Using easy-rsa" :
git clone -b release/2.x https://github.com/OpenVPN/easy-rsa.git
cp easy-rsa/easy-rsa/2.0/* /etc/openvpn/easy-rsa
With the latest easy-rsa 2.0, it generated 2048 key. So you need change the name to dh2048.pem