[OpenBSD 3.9] pkg_add -u
 

I have just upgraded from OpenBSD 3.8 -> 3.9. I set my PKG_PATH to
ftp://ftp.openbsd.org/pub/OpenBSD/3.9/packages/i386/

and did a pkg_add -u but it doesn't update all the packages and just compare them
but if I do pkg_add -u nmap it upgrades nmap and all the dependencies.

I also recently did an upgrade from 3.8 to 3.9, and using the syntax on the OpenBSD Upgrade Mini-FAQworked for me. Maybe since you're telling it to upgrade packages for which no update information is available (since they were installed under 3.8 which had no update capability) it doesn't actually do the update unless you force it with the -F option.