You guys made me think about the actual use case: noob user of OpenBSD, installs the ISO, never gets to have any pkg.conf by default.
A way to handle that case would be to have non-network iso *installs* put a pkg.conf that says "hey we didn't configure anything, let's do that later". A bit a la first-time-boot. If you unconfigure things, end up with no pkg.conf, then it will never trigger. Anyhow, the code I have made me see thru a few "fun" pkg_add details I'll have to fix anyway (make ask_list able to deal with long lists in every case looks like a worthwhile pursuit always)