For those who want to know it, I think I found the cause. I went and checked the source code of conky (version 1.7.2).
Among other things I found the following:
Code:
#if defined(i386) || defined(__i386__)
typedef struct apm_power_info *apm_info_t;
#endif
So it looks like APM support is deliberately disabled for other architectures than i386. In my case I use OpenBSD 4.8 amd64. I think it is because of this.