The good news is that I use Nagios with our VPSs, and it works brilliantly.

> include_dir=/etc/nagios/nrpe.d
> I have found that while this directive works under Xen this does not 
> work under openvz.

I find that surprising. Are you sure that the permissions didn't get 
mangled when you copied it over to ovz? That's the first thing I'd 
check: making sure that /etc/nagios/nrpe.d is in fact a directory, and 
that's readable by the user who runs nrpe (user nagios?).

-- 
Gregor Mosheh / Greg Allensworth
System Administrator, HostGIS cartographic development & hosting services
http://www.HostGIS.com/

"Remember that no one cares if you can back up,
  only if you can restore." - AMANDA