As mentioned above, "dbus_daemon" does not exist at OpenBSD 5.8 or 5.9. The name of the dbus startup script is messagebus. You are using old, outdated guidance if you read about "dbus_daemon" and are using OpenBSD 5.8 or 5.9. (Release 5.7 or older releases are no longer supported, and should be avoided.)
If you are unsure of the startup script name, look at all of the files in /etc/rc.d/ -- if you are running OpenBSD 5.8 or newer, you will not see a file called dbus_daemon.
And as mentioned above, it is not best practice to use /etc/rc.local to start daemons that are available through the rc startup/shutdown system rc.d(8). Instead, you should be using /etc/rc.conf.local. And to make that even easier to do, there is an rcctl(8) command that was added at OpenBSD 5.7, which can be used to enable/disable and order daemons and services. It can start, stop, and restart daemons, but also edits /etc/rc.conf.local for you.
I would like to know if slim is the root cause of your problem. As I mentioned above, I'd like to know if xdm(1) works instead. To find out, you must disable slim, then enable xdm.
Disable slim: Do not start it via /etc/rc.local. You can delete the file, or ensure the command is commented out.
Enable xdm: with rcctl(8), all you would need to do is issue this command as root:# rcctl enable xdm
This will add a line to your /etc/rc.conf.local command, enabling xdm at boot.
If you are running OpenBSD 5.8 or later, remove references to dbus from your /etc/rc.conf.local file. You must have missed the guidance from rockworldmi above about this.
If for example, you were to delete both your /etc/rc.local and /etc/rc.conf.local files entirely, and start without either file, you would only need the following to start xdm, messagebus, and avahi-daemon at the next boot:
# rm /etc/rc.local /etc/rc.conf.local
# rcctl enable xdm
# rcctl enable messagebus
# rcctl enable avahi-daemon
In addition to the system wide bus, dbus comes with a session bus, started separately from within an .xsession startup script The details can be found in the dbus README file for OpenBSD stored on your system. You will find it, along with other OpenBSD-specific README files in /usr/local/share/doc/pkg-readmes.