I know a lot of people prefer to leave SElinux off, and it's fine if it's the default, but I couldn't turn it on myself since it seems to not be enabled in the kernel.
I haven't personally tested openvz + selinux. This will require looking into further to see how compatible it would be and what if any drawbacks might occur. Right now all openvz systems do not have selinux.
This has been looked over, but on openvz this will not be possible. In order to use selinux choose KVM. It is possible on kvm because you have full kernel control. 1 slice on KVM is now permitted.