I have exactly same problem. Here is my simply setup:
R1(PE,Cisco, lo 1.1.1.1)---R2(P, Cisco, lo 2.2.2.2)--R3(PE, OpenBSD6.1, lo0
3.3.3.3)
Everything works good, VPNv4 prefixes learned from other PE-router, but
OpenBSD don't install this routes to appropriate routing table.
Here is config files:
# cat /etc/ospfd.conf
router-id 3.3.3.3
area 0.0.0.0 {
    interface vio1
    interface lo0
}
# cat /etc/ldpd.conf
address-family ipv4 {
        interface vio1
}
# cat /etc/bgpd.conf
router-id 3.3.3.3
AS 100
rdomain 1 {
    descr "CUSTOMER1"
    rd 100:1
    import-target rt 100:1
    export-target rt 100:1
    depend on mpe0
    network inet connected
}
group ibgp {
    announce IPv4 unicast
    announce IPv4 vpn
    remote-as 100
    local-address 3.3.3.3
    neighbor 1.1.1.1 {
        descr R1
    }
}
Here is my output:
# ospfctl show neighbor
ID              Pri State        DeadTime Address         Iface     Uptime
2.2.2.2         1   FULL/DR      00:00:31 10.10.23.2      vio1      00:17:44

# ldpctl show neighbor
AF   ID              State       Remote Address    Uptime
ipv4 2.2.2.2         OPERATIONAL 2.2.2.2         00:18:39

# ldpctl show lib
AF   Destination          Nexthop         Local Label Remote Label  In Use
ipv4 1.1.1.1/32           2.2.2.2         16          16               yes
ipv4 2.2.2.2/32           2.2.2.2         17          imp-null         yes
ipv4 3.3.3.3/32           2.2.2.2         imp-null    17                no
ipv4 10.10.12.0/24        2.2.2.2         18          imp-null         yes
ipv4 10.10.23.0/24        2.2.2.2         imp-null    imp-null          no
ipv4 192.168.1.0/24       0.0.0.0         imp-null    -                 no
ipv6 2002::/24            0.0.0.0         19          -                 no
ipv6 2002:7f00::/24       0.0.0.0         20          -                 no
ipv6 2002:e000::/20       0.0.0.0         21          -                 no
ipv6 2002:ff00::/24       0.0.0.0         22          -                 no

# ldpctl show fib
Flags: C = Connected, S = Static
 Prio Destination          Nexthop           Local Label       Remote Label
S   8 0.0.0.0/0            192.168.1.1       -                 -
   32 1.1.1.1/32           10.10.23.2        16                16
   32 2.2.2.2/32           10.10.23.2        17                imp-null
C   1 3.3.3.3/32           3.3.3.3           imp-null          -
   32 10.10.12.0/24        10.10.23.2        18                imp-null
C   4 10.10.23.0/24        10.10.23.3        imp-null          -
C   4 192.168.1.0/24       192.168.1.13      imp-null          -
S   8 ::/96                ::1               -                 -
S   8 ::/104               ::1               -                 -
C   1 ::1/128              ::1               -                 -
S   8 ::127.0.0.0/104      ::1               -                 -
S   8 ::224.0.0.0/100      ::1               -                 -
S   8 ::255.0.0.0/104      ::1               -                 -
S   8 ::ffff:0.0.0.0/96    ::1               -                 -
S   8 2002::/24            ::1               19                -
S   8 2002:7f00::/24       ::1               20                -
S   8 2002:e000::/20       ::1               21                -
S   8 2002:ff00::/24       ::1               22                -
S   8 fe80::/10            ::1               -                 -
    1 fe80::1%lo0/128      fe80::1%lo0       -                 -
S   8 fec0::/10            ::1               -                 -
S   8 ff01::/16            ::1               -                 -
    4 ff01::%lo0/32        ::1               -                 -
S   8 ff02::/16            ::1               -                 -
    4 ff02::%lo0/32        ::1               -                 -


# bgpctl show summary
Neighbor                   AS    MsgRcvd    MsgSent  OutQ Up/Down 
State/PrfRcvd
R1                        100         38         42     0 00:19:56      1

# bgpctl show tables
Table Description          State
    0 Loc-RIB              coupled
    1 CUSTOMER1            coupled

# bgpctl show rib
flags: * = Valid, > = Selected, I = via IBGP, A = Announced, S = Stale
origin: i = IGP, e = EGP, ? = Incomplete

flags destination          gateway          lpref   med aspath origin
AI*>  rd 100:1 192.168.35.0/24 rd 0:0 0.0.0.0     100     0 i
I*>   rd 100:1 192.168.41.0/24 1.1.1.1            100     0 ?

# bgpctl show rib detail

BGP routing table entry for rd 100:1 192.168.35.0/24
    Nexthop rd 0:0 0.0.0.0 (via rd 0:0 0.0.0.0) from LOCAL (3.3.3.3)
    Origin IGP, metric 0, localpref 100, weight 0, internal, valid, best,
announced
    Last update: 00:22:18 ago
    Ext. communities: rt 100:1

BGP routing table entry for rd 100:1 192.168.41.0/24
    Nexthop 1.1.1.1 (via 10.10.23.2) from R1 (1.1.1.1)
    Origin incomplete, metric 0, localpref 100, weight 0, internal, valid,
best
    Last update: 00:22:18 ago
    Ext. communities: rt 100:1

# bgpctl show rib community 100:1
flags: * = Valid, > = Selected, I = via IBGP, A = Announced, S = Stale
origin: i = IGP, e = EGP, ? = Incomplete

flags destination          gateway          lpref   med aspath origin

# bgpctl show rib detail table 0
no such neighbor
# bgpctl show rib detail table 1
no such neighbor

# bgpctl show fib
flags: * = valid, B = BGP, C = Connected, S = Static, D = Dynamic
       N = BGP Nexthop reachable via this route R = redistributed
       r = reject route, b = blackhole route

flags prio destination          gateway
*S       8 0.0.0.0/0            192.168.1.1
* N     32 1.1.1.1/32           10.10.23.2
*       32 2.2.2.2/32           10.10.23.2
*        1 3.3.3.3/32           3.3.3.3
*       32 10.10.12.0/24        10.10.23.2
*C       4 10.10.23.0/24        link#2
*C       0 127.0.0.0/8          link#0
*C       4 192.168.1.0/24       link#1
*S  r    8 ::/96                ::1
*S  r    8 ::/104               ::1
*C       0 ::1/128              link#0
*        1 ::1/128              ::1
*S  r    8 ::127.0.0.0/104      ::1
*S  r    8 ::224.0.0.0/100      ::1
*S  r    8 ::255.0.0.0/104      ::1
*S  r    8 ::ffff:0.0.0.0/96    ::1
*S  r    8 2002::/24            ::1
*S  r    8 2002:7f00::/24       ::1
*S  r    8 2002:e000::/20       ::1
*S  r    8 2002:ff00::/24       ::1
*S  r    8 fe80::/10            ::1
*        1 fe80:5::1/128        fe80:5::1
*S  r    8 fec0::/10            ::1
*S  r    8 ff01::/16            ::1
*        4 ff01:5::/32          ::1
*S  r    8 ff02::/16            ::1
*        4 ff02:5::/32          ::1


# ifconfig -a
lo0: flags=8049<UP,LOOPBACK,RUNNING,MULTICAST> mtu 32768
        index 5 priority 0 llprio 3
        groups: lo
        inet6 ::1 prefixlen 128
        inet6 fe80::1%lo0 prefixlen 64 scopeid 0x5
        inet 3.3.3.3 netmask 0xffffffff
vio0: flags=8843<UP,BROADCAST,RUNNING,SIMPLEX,MULTICAST> mtu 1500
        lladdr 00:50:00:00:03:00
        index 1 priority 0 llprio 3
        groups: egress
        media: Ethernet autoselect
        status: active
        inet 192.168.1.13 netmask 0xffffff00 broadcast 192.168.1.255
vio1: flags=88843<UP,BROADCAST,RUNNING,SIMPLEX,MULTICAST,MPLS> mtu 1500
        lladdr 00:50:00:00:03:01
        index 2 priority 0 llprio 3
        media: Ethernet autoselect
        status: active
        inet 10.10.23.3 netmask 0xffffff00 broadcast 10.10.23.255
vio2: flags=8843<UP,BROADCAST,RUNNING,SIMPLEX,MULTICAST> rdomain 1 mtu 1500
        lladdr 00:50:00:00:03:02
        index 3 priority 0 llprio 3
        media: Ethernet autoselect
        status: active
        inet 192.168.35.1 netmask 0xffffff00 broadcast 192.168.35.255
enc0: flags=0<>
        index 4 priority 0 llprio 3
        groups: enc
        status: active
pflog0: flags=141<UP,RUNNING,PROMISC> mtu 33144
        index 6 priority 0 llprio 3
        groups: pflog
lo1: flags=8008<LOOPBACK,MULTICAST> rdomain 1 mtu 32768
        index 7 priority 0 llprio 3
        groups: lo
mpe0: flags=11<UP,POINTOPOINT> rdomain 1 mtu 1500
        index 8 priority 0 llprio 3
        mpls label: 666
        groups: mpe
        inet 10.10.10.10 --> 0.0.0.0 netmask 0xffffffff

# netstat -rn -T1
Routing tables

Internet:
Destination        Gateway            Flags   Refs      Use   Mtu  Prio
Iface
10.10.10.10        10.10.10.10        UHl        0        0     -     1 mpe0
192.168.35/24      192.168.35.1       UCn        0        0     -     4 vio2
192.168.35.1       00:50:00:00:03:02  UHLl       0        0     -     1 vio2
192.168.35.255     192.168.35.1       UHb        0        0     -     1 vio2

MPLS:
In label  Out label Op     Gateway            Flags   Refs      Use   Mtu 
Prio Interface
666       -         POP    mpe0               UT         0        0     -    
8 mpe0
#

route 192.168.41.0/24 not imported in rdomain 1 table...



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