And let's not forget that OpenBSD doesn't make use of modern hardware as well as Linux and FreeBSD or DragonflyBSD. SMP incompleteness is one of the issues.
As with all things in computer science, there haven been successful implementations of anything that we see as unsolvable in a Unix-derivative. It's sad that so little of even non-research results has been incorporated into mainstream operating systems. I'm sure nickpsecurity can expand on this in detail, but let's just say Burroughs, VMS, Eros, L4 are all things that come to minds as ancient production quality software which solved issues fundamentally. For a newer strain have a look at Barrelfish.
OpenBSD supports multiple cores fine as far as userland goes. If you have 8 cores and start 20 userland processes, they'll be scheduled on all 8 cores. But yes, the kernel itself is not as fine-grain multithreaded as some others. Whether that matters depends on whether waiting on the kernel turns out to be a bottleneck for your workload.
It might be ok for compute-only tasks that spread calculations over threads or processes in userland, but anything involving input/outpout (e.g. networking) will block.
Not at all, SMP opens a huge can of worms both for userland and kernel security. Suddenly you have all sorts of weird race conditions to deal with and in some kernels (cough XNU) logic bugs that stem directly from how kernel subsystems interact with threads. I don't blame OpenBSD for not going down that route.
Which is why DragonflyBSD was forked during the disagreement on FreeBSD's SMPng. Matt implemented more of a message passing system instead and Sepherosa Ziehau made all kinds of improvements to share as little as possible between cores and thus enable higher scalability in particular for networking.