No, seriously, that's the actual error message. I just double-checked in 5.4 and it's still there.
OpenBSD, for many reasons, is definitely an acquired taste in both configuration and documentation for said configuration. There are a lots of technical points that make it a great OS.
They're still only technical points, though.
Edit: Correction, it's not on initial login. Only on sudo. The rest of the list : https://github.com/toddfries/OpenBSD-usr.bin-patches/blob/ma...
"Hey, see this nice smtpd we created? Here's how you blacklist the domain of a Linux guy we like to make fun of/blame for everything wrong in the world" is .. childish. But again, sense of humor is certainly something that is open for interpretation and all..