Here's how to find openvpn.log, openvpn.old.log, daemon.log, and daemon.old.log.
Via the app
You can easily access them via the app by opening Settings > Report a Problem > View app logs.
Via your computer
Windows: C:\\ProgramData\\Mullvad VPN
macOS: /var/log/mullvad-vpn/
Linux: /var/log/mullvad-vpn/