I don't use iwn(4). When I installed the package just now (on a old 4.7 system I have handy at the moment, in a virtual machine), I don't get symlinks, I get the firmware files themselves loaded into /etc/firmware, using
http://firmware.openbsd.org/firmware...rmware-5.6.tgz as the package.
My guess is you are correct, this is user error. But it may not be. Where did you get your package?