It's the first release without an official CD set [1], and OpenBSD was probably one of the last operating systems to provide official installation discs. I wonder if they'll start recommending third-party sellers of installation CDs and DVDs like Debian does [2].
The disks were apparently stopped because they no longer provided a relevant amount of profit-per-work - making CD's requires a lot of coordination work, and worldwide shipping isn't trivial.
[1] https://www.openbsd.org/orders.html [2] https://www.debian.org/CD/vendors/