The default options for iptables are very basic. Here is what you need to do in order to enable them in OpenVZ.
vi /etc/sysconfig/iptables-config
Edit the line as so:
IPTABLES_MODULES="ipt_REJECT ipt_tos ipt_TOS ipt_LOG ip_conntrack ipt_limit ipt_multiport iptable_filter iptable_mangle ipt_TCPMSS ipt_tcpmss ipt_ttl ipt_length ipt_state iptable_nat ip_nat_ftp"
vi /etc/sysconfig/vz
Edit the following line as so:
IPTABLES="ipt_REJECT ipt_tos ipt_TOS ipt_LOG ip_conntrack ipt_limit ipt_multiport iptable_filter iptable_mangle ipt_TCPMSS ipt_tcpms
s ipt_ttl ipt_length ipt_state iptable_nat ip_nat_ftp"