More precisely, openbox-xdg-autostart script needs pyxdg. Just have a look at /usr/libexec/openbox-xdg-autostart and you'll see.
Fixed
I think, it's unwise to pull python without demand because it's huge. I'm openbox user, because it's compact and fast, and i'm not using this autostart, but rather my custom scripts. So, please add «python» USE.
reopening per user request
are you telling me that you have no python installed in your box?
It may be so, because portage can be repalced by paludis, which is written on c++, and so doesn't requre python.
Ok this is fixed in 3.5.0_p20111019 and 9999. I didn't touch the stable ebuild