It seems that /etc/rc.d/xdm as installed from
...src/NetBSD/src/etc/rc.d hardcodes
the command to execute to be /usr/X11R6/bin/${name} and required_files
to /etc/X11/xdm/xdm-config.
This is on NetBSD-current and may also apply to NetBSD 4.

I suggest that either

 - /etc/rc.d/xdm is updated to locate /usr/pkg/bin/xdm as an acceptable program
   location and (if needed) required_files also learn about modular-x11

or
 - /etc/rc.d/xdm is not installed by default (and also not checked by
postinstall) --
   instead a sample rc script could be provided by the xdm package.

The latter is probably the most clean situation if we expect XFree86
to be removed
in a not too distant future.

regards
- Erik