Going back many years has been OpenBSD's LKM support to allow kernel mouldes to be dynamically added/removed from a system, just as kernel modules are on Linux and other operating systems. However, OpenBSD developers have decided to strip out this functionality.
Several commits earlier this month stripped out the loadable kernel modules support from OpenBSD. It's also now listed in the OpenBSD-current changes that the LKM interface has been removed. With this, kernel modules must be built into the OpenBSD kernel with no support for dynamically adding/removing modules from the system.
After scouring the lists and other resources I've yet to find an official reason for OpenBSD dropping LKM support, but would wager it's due to security or code quality/openness ideals.