Your system is running at a raised securelevel, is not it? It is, indeed, impossible to start X at a raised securelevel. To see why, look at the init(8) man page.
So the question is what else you should do instead, and you basically have two choices: set your securelevel back down to zero (usually from /etc/rc.conf), or run xdm(1) at boot time (before the securelevel is raised).
See Q: 11.8. for more information about running xdm(1) at boot time.