You are comparing two very different versions of sudo. The sudo that used to ship with OpenBSD is version 1.7.2p8 which is rather ancient. On Linux you probably have some variant of sudo 1.8.x. Newer versions of sudo escape spaces in the command run via "sudo -s" whereas the ancient 1.7.2p8 does not. That probably explains the difference.
If you install sudo from ports you will get the same behavior you see on linux. - todd
