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Are there anything like this under OpenBSD?
Yes, of course. It's standard. (And there're more, also non-standard, security features in OpenBSD.)
(If you meant "are there any files with these bits set", try find / -type f \( -perm -4000 -o -perm -2000\) -print)
find / -type f \( -perm -4000 -o -perm -2000\) -print
Required, but never shown