Don't worry about it.
> # cat install.conf
> Set name(s) = -x*
> ...
>
> # dmesg
> OpenBSD 6.4 (GENERIC) #349: Thu Oct 11 13:25:13 MDT 2018
> [email protected]:/usr/src/sys/arch/amd64/compile/GENERIC
> ...
>
> # syspatch
> Get/Verify syspatch64-002_syspatc... 100%
> |*******************************************| 4627 00:00
> Installing patch 002_syspatch
> syspatch updated itself, run it again to install missing patches
>
> # syspatch && echo ":)" || echo ":("
> ln: /usr/X11R6/bin/X: No such file or directory
> :(
>
> Expected :)
>
> # syspatch -l
> 002_syspatch
>
> # cat /usr/sbin/syspatch
> if [[ ! -h /usr/X11R6/bin/X ]]; then
> ln -sf Xorg /usr/X11R6/bin/X
> fi
> ...
>
> Problem:
> Symbolic link does not exist on OpenBSD installation without X sets,
> and it should not exist.
>
> Possible fix:
> -ln -sf Xorg /usr/X11R6/bin/X
> +ln -sf Xorg /usr/X11R6/bin/X || echo "Skipping X repair"
>