I suspect you may be getting rejected by the remote DHCP server, for whatever reason, there have been plenty of bug fixes in that area over the years.. you should confirm the behaviour you're seeing exists in newer versions of OpenBSD, otherwise we can't possibly help you.
Nobody here is likely to remember nuances of 4.1, and even so, given the age.. your installation may no longer be "vanilla" and some other system misconfiguration could be effecting the initial lease attempt.
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