OpenBSD will download your wifi firmware during first boot (post-install) if there is a configured internet connection (i.e. ethernet).
The onus is on the user to themselves supply the firmware.
I thought there was an instance where I saw all the access points somehow during the installer, but unsure how I did that... and I couldn't replicate it.
I suspected that I had wired ethernet configured, and then the installer downloaded firmware to configure wireless? It was just a guess, I didn't look more into it.