In terms of doing binary upgrades from one release to another, you shouldn't have any problems as long as you upgrade to the release which comes right after yours (e.g. 4.0 -> 4.1, NOT 4.0 -> 4.4).
Quote:
Originally Posted by OpenBSD FAQ
Note: Upgrades are only supported from one release to the release immediately following it. Do not skip releases.
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Keeping this in mind, the only thing you should have to worry about is properly merging in the new /etc files with your own installed /etc files.
In your case, having missed several releases, I'd probably just backup all important data and install 4.4-release from scratch; it's the easiest solution.
As per your other question, I cannot really say much about GNU/Linux security updates because I don't follow any distros (I wouldn't be surprised, however, if OpenBSD is still more secure).