"pkglocate" is an old name of the utility "pkg_locate".
It's a link and is kept around for backward compatibility.
It got renamed in end-2011. See this commit in ports:

    commit 39f25c5430e4215836374d06b4b32294b7bf943b
    from: ajacoutot <ajacoutot@openbsd.org>
    date: Sun Sep 11 16:12:34 2011 UTC

     Rename the utility from pkglocate to pkg_locate to be consistent with
     the other pkg_* tools.
     pkglocate is kept as a link to not break backward compat.

     ok espie@

diff d70aed9bbe23c049e64727bca35b63e83e9d81f5 90bec59135918706cbb5f3d2e7aa1df8aaac2822
commit - d70aed9bbe23c049e64727bca35b63e83e9d81f5
commit + 90bec59135918706cbb5f3d2e7aa1df8aaac2822
blob - 6e9d88c981c859cab6dbd2b420a8e278ab6c7657
blob + 9ebcd287226a3e598b8f77243fd17b6133353824
--- faq/faq15.html
+++ faq/faq15.html
@@ -154,11 +154,11 @@ unzip-6.0p17
 unzip-6.0p17-iconv
 </pre>
 
-Another way to find what you're looking for is with the <code>pkglocate</code>
+Another way to find what you're looking for is with the <code>pkg_locate</code>
 command, available from the <code>pkglocatedb</code> package.
 
 <pre class="cmdbox">
-$ <b>pkglocate mutool</b>
+$ <b>pkg_locate mutool</b>
 mupdf-1.24.9-js:textproc/mupdf,js:/usr/local/bin/mutool
 mupdf-1.24.9-js:textproc/mupdf,js:/usr/local/man/man1/mutool.1
 mupdf-1.24.9:textproc/mupdf:/usr/local/bin/mutool