I will guess that the reason for the /var deployment is to support the -chroot flavor. OpenBSD's chrooted applications use /var directories for their root.
The OpenBSD port of Nagios is highly complicated.
I'm not a Nagios user, and have not followed any of the Nagios discussions on the ports@ mailing list. I only know that pnp4nagios was a 2016 addition to the OpenBSD ports tree, and it has an assigned maintainer, while Nagios is maintained by the Project at large, via the ports@ mailing list.
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