Recent updates to Windows 10 have removed the option to set the network adapter binding order via the user interface. A possible alternative is to open up the network adapter page, open the properties of each adapter and then set the metric to required values: lower values mean a higher priority (ie: the loopback device has metric 1).
Changing the adapter metric to some very high value for OpenVPN also incidentally prevents Windows from routing all traffic through the OpenVPN interface.