The jail functionality in FreeBSD required significant kernel changes in almost every area imaginable, it would be difficult to to introduce similar functionality in OpenBSD without a developing being really motivated to do so (..and perhaps such changes would be rejected by the other developers anyway).
In OpenBSD, daemons are privileged separated and use chroot(2) where it's deemed necessary.. if you absolutely require that 'domains' be separated, then consider obtaining additional systems.
Hope that helps.
