I added gdm to the DAEMONS list in rc.conf, thus it startups at boot. For shutting down the system, I'm using the GDM built-in menu regularly.

And here commes the issu: The gdm rc-script shutdown part looks like this:

stat_busy "Stopping GDM"
/opt/gnome/sbin/gdm-stop
if [ $? -gt 0 ]; then
stat_fail
else
rm_daemon gdm
stat_done
fi

In my situation the else-branch is never hit because GDM terminates itself, when i choose "shutdown" or "reboot" from menu. Thus gdm-stop fails and prints a message something like this:
"pidfile doesn't exist, perhaps GDM isn't running"

In addition 'rm_daemon gdm' statement is never exceuted and the gdm entry stays in /var/run/daemons. Because of this when rc.shutdown tries to shutdown all leftover daemons, it runs 'gdm stop' and the message appears again.

Not really a bug but something annoying.