I have no idea how to get the loopback device working in OpenVZ, but what's more frustrating is that I purchased a CPanel license for my VPS and clearly it is not "VPS Optimized". Although everything does seem to work at this point despite that error.
The suggestions here: http://forum.openvz.org/index.php?t=msg&goto=1339 don't seem to work at all. This is an OpenVZ issue, but also a CPanel isue, why on earth would loopback support be expected in a VPS and why would CPanel need this?
It also makes me want to stick with Plesk exclusively, at least they have well designed and thought out Control Panel. I can't believe CPanel looks like it was designed by hackers from the 90's!