This is the easiest and correct way of setting up PIA for root on Kali with OpenVPN
UPDATE
I recently found a bug that OpenVPN/PIA won't connect while using the "network-manager applet" and that this is not just an issue on Kali but Ubuntu as well. A work-around for this is to either run "nm-applet" from terminal before connecting or the more efficient route of going into the VPN connection settings and selecting "Store the password for all users" instead of "Store the password only for this user".