You are correct; the OpenBSD/amd64 second stage bootloader (the small program that produces the "boot>" prompt) loads the kernel from a physical disk drive partition, it does not map RAIDframe volumes.
With your configuration, I assume that would be the "a" partition of either of your physical drives.
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When you create a custom kernel, it is standard practice to copy GENERIC or GENERIC.MP to a new configuration file, so that kern.version or dmesg(8) produce obvious indications that a custom kernel is in use and not GENERIC. For example, if your favorite $EDITOR is
vi(1) you might do something like this on your build platform:
Code:
# cd /usr/src/sys/arch/amd64/conf
# cp GENERIC.MP RAID.MP
# vi RAID.MP
# config RAID.MP
# cd ../compile/RAID.MP
# make clean && make