Debian Buster now has Gnome 3.22, and the Settings application is somewhat re-organised.
Directions in Gnome 3.22 are as follows:
1. Download and extract the PenguinVPN configuration bundle
https://www.thinkpenguin.com/files/penguinvpn-new-desktop-configuration-...
2. Install the the required packages:
$ sudo apt -o "APT::Install-Recommends" install network-manager-openvpn-gnome
3. Open “Activities”.
4. Search for and open “Network Settings”.
5. Go to “Network” → “VPN”, select the “+” button to add a new VPN configuration.
The “Add VPN” dialogue will open.
6. Select “Import from file…”.
The “Select file to import” dialogue will open.
7. Find the downloaded PenguinVPN configuration bundle. Select the ‘penguin-new-tcp.ovpn’ file. Select the “Open” button.
The “Select file to import” dialogue will close, returning to the “Add VPN” dialogue.
8. Go to the “Identity” tab.
9. Change the “Name” setting as desired (to, e.g. “PenguinVPN”).
10. In the “Username” field, enter your PenguinVPN user name.
11. In the “Password” field, enter your PenguinVPN password.
12. In the “CA private key” field, select the file ‘Wdc.key’.
The “Apply” button will become available.
13. Select the “Apply” button.
The new connection (named “PenguinVPN” if you chose that name) will now be available.