Hrm. The point of distributions like smoothwall, m0n0wall and ipcop is that all the extra kernel and userspace features are ripped out, leaving a significantly smaller attack surface. Furthermore, the remaining software is configured in a secure fashion and chroot jailed when applicable.
It would be impossible to integrate these principles in LinuxMCE because LinuxMCE is designed to work with as many devices as possible, which is the complete opposite of smoothwall and ipcop. Comparatively, due to the number of services LinuxMCE runs, it will NEVER be a good choice for a firewall (from a security standpoint).
However, a strong ruleset on LinuxMCE should be more than enough security for anyone not wearing a tinfoil hat. Ultimately a strong iptables ruleset, that opens no services to the external world will be as secure as any other Linux firewall. The real advantage to distributions like smoothwall is that you don't have to be a linux guru to configure the ruleset in a secure fashion.
As for openvpn, build it yourself or install a binary package. There's no reason why it needs any sort of special integration.