It means if you look at any number of the security vulnerabilities that affected OpenBSD base system that they disclosed, or any number of bugs in third party software they haven't audieted, out of the vulns that allow root and/or rce, a lot of damage can be done on a 'secure' OpenBSD system, which something like SELinux can prevent.
Lets say Apache or something had a remote root bug (despite not running as root) that granted a shell was was pretty easy to exploit. An SELinux system can protect an unkown but actively exploited bug like that more than OpenBSD can.
The OpenBSD approach is just to keep looking and hope you've found every bug that would possibly allow for anything like that, and hope they've found them all.