If I increase the MTU over 1500 to 9000 for OpenVPN when connecting to a remote server over the internet, I'll have fragmentation and won't gain any performance due to the fact that I don't know if the routers that handle my packets support jumboframes?
Many providers still use 1500 byte IP MTUs; you cannot depend on anything larger. It is very unlikely that you will see 9000 Byte IP packets make it to another internet destination without fragmentation.
FYI, fragmentation almost always happens in a router's CPU packet procesing path. ASICs normally don't handle fragmentation, it's done by punting to the CPU of the router / L3 switch... thus you stand a decent chance of making your performance worse by using Jumbos through the internet... the first-hop that has a 1500 Byte MTU would punt all jumbos to the CPU, which would limit your transfer speed as well. On the other end, you wind up reassembling the packets, which adds yet another possible complication to making transfers faster.
Caveat: I personally don’t know if OpenVPN sets or clears the DF bit in the IP header. If it’s set, packets larger than the providers IP MTU will get dropped.