Well, I finally worked it out, and it also seems to answer this post, where the poster was coming directly from OZ, as was I. He also claimed to be a veteran of BSD installing so went straight to the D+B menu and the insmod commands.
https://www.oesf.org/forum/index.php?showtopic=24159Having read this, I remembered that the two successful installs I had done both came from having cacko on the Z and installing the OpenBSDxx.ipk file. My experience was that this install file did no appear to do anything except hang the Z so was not worth doing. It seemed to be better to skip straight to the D+M menu and the insmod command sequence.
However, it seems that the Sharp/Cacko IPK file does something that enables the Z to boot directly into OpenBSD once you have done a successful intstall. I guess it tinkers with the scripts held in flash.
So, in summary, to install OpenBSD so that it boots without having to go to the D+B menu, make sure you start from a Sharp/Cacko build and run the BSD install IPK. You'll find it in the feed.
Enjoy!