Why should I use easy-rsa when using OpenVPN?

Reading this guide on how to setup an OpenVPN server on a Raspberry Pi, I saw this line:

4) You don’t want anyone who finds your VPN server address to be able to connect. So next, we’re going to make a key for the server address. It’s just like keeping the door to your house locked.

I am not sure what this means. If somebody finds my VPN server, they would need username and password of one of the users to use my VPN anyway, so what's the point of using easy-rsa to generate the keys?

I am currently using the OpenVPN ESXi virtual appliance and there was no need to configure any of this. Does this mean that my VPN server is not as secure as it could be?