There's an FAQ in the AlgoVPN documentation that addresses this question (https://github.com/trailofbits/algo/blob/master/docs/faq.md#...):

> Why aren't you using OpenVPN?

> OpenVPN does not have out-of-the-box client support on any major desktop or mobile operating system. This introduces user experience issues and requires the user to update[1] and maintain[2] the software themselves. OpenVPN depends on the security of TLS[3], both the protocol[4] and its implementations[5], and we simply trust the server less due to past[6] security[7] incidents[8].

[1] https://www.exploit-db.com/exploits/34037/

[2] https://www.exploit-db.com/exploits/20485/

[3] https://tools.ietf.org/html/rfc7457

[4] https://arstechnica.com/security/2016/08/new-attack-can-pluc...

[5] https://arstechnica.com/security/2014/04/confirmed-nasty-hea...

[6] https://sweet32.info/

[7] https://github.com/ValdikSS/openvpn-fix-dns-leak-plugin/blob...

[8] https://www.exploit-db.com/exploits/34879/

It uses openssl, which regularly gets security issues published.

It shouldn't be too bad if you keep your server and clients updated, though (depending on your thread model).