So the bottom-line is that it comes down to how much you trust the people that made the software. Is it a very high quality vendor? Is it a very high quality open-source project?
The nice thing about open-source software is that you have a much better ability to evaluate this from the inside. Get on mailing lists, poke around trackers, and see how they usually deal with security disclosures. Do they even have a formal program to do so? I'm not sure that OpenVPN does, although a lot of distros watch that carefully.