If they're concerned about performance, yeah. OpenBSD doesn't do the basics that you need to get the most out of your SMP hardware; there's no way to set cpu affinity at least from userland, and it's clear that this sort of work is not a priority for OpenBSD; it's not easy work, but FreeBSD has done it. Beyond CPU affinity, you also need your network structures setup to reduce lock contention, things like fine grained locks, hashed subtables and/or "lockless" tables, configuring the NICs as close as possible to one queue per core and keeping flows on the same queue which is pinned to a single core so that the per flow locks never contend and don't bounce between cores.

Ubuntu/Linux do have reasonable performance, but I think they prefer PF firewalls, so that makes Linux a non-option for firewalls.

Personally, I don't really care for PF, but it offers pfsync, which I do care for, so I use it and ipfw... but I need to check in, I think FreeBSD PF may have added the hooks I use ipfw for (bandwidth limits/shaping/queue discipline).