It can be confusing. No worries.
-Release+errata is
not quite the same as -stable. The -stable flavor includes errata patches, as well as some additional patches for stability that are not deemed critical enough to be published on the errata web page.
If you are using -release+errata, you need not use any CVS client, including CVSup; the -release source is available from the CD set or your nearest mirror.
If you are using -stable, then a CVS client is necessary.
Common CVS tags:
-release: OPENBSD_X_Y_BASE
-stable: OPENBSD_X_Y
-current: none, or HEAD
CVS clients are used only to obtain the appropriate version of the source. You would then still need to build the kernel, userland (or individual components, if using errata), and X (or components, if using errata) as needed.