Managed to "fix" it :D - the tl;dr version is "select GPT and not MBR"
because if GPT isn't selected, an msdos efi partition isn't created and
that's why my previous attempts (apart from the vm where I made a msdos
partition manually before installation) failed.
This part in the initial installation process:
# Use (W)hole disk MBR, whole disk (G)PT or (E)dit? [whole] G
# An EFI/GPT disk may not boot. Proceed? [no] <<<== this bit
Is GPT "inferred" by BHYVE_UEFI.fd?
No - the standard allows both GPT and MBR, and the EDK-based bhyve
UEFI will handle that (as I think you saw when you manually created the
FAT system partition).
However, GPT is really the preferred partitioning scheme for EFI, and
it's not surprising that OpenBSD isn't creating the system partition
when MBR is selected.
later,
Peter.
