A package manager should know about all the files installed on the system. Previously (and it has been many years) *BSD just splatted files into the filesystem and didn't keep track of them.
OpenBSD's pkg_add/* tools are related to the old FreeBSD utilities only by name, Marc Espie rewrote OpenBSD's package tools in Perl many years ago. It is a modern packaging system with proper dependency tracking, per-file checksum verification, privsep and cryptographic signatures (signify/ed25519)
For example - here are the instructions for upgrading from 5.9 to 6.0: http://www.openbsd.org/faq/upgrade60.html
Once you are done upgrading the operating system, you upgrade your packages with the command: