The default options for iptables are very basic. Here is what you need to do in order to enable them in OpenVZ.
1.) Add the modules to iptables and restart iptables:
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"
2.........