This is only minor issue, with games-misc/opengfx-0.5.1 game reports some pictures are missing but I does not observed visible artefacts. Unfortunately games-misc/opengfx-0.5.2 was not released at the time of bug report (RC1 only). The second issue with games-misc/opengfx-0.5.2 is the requirement of >=games-util/nml-4.0 to build.
The warnings are a normal part of running openttd with a still-developing graphics set and don't represent a hard requirement on opengfx-0.5.2. opengfx-0.5.2 will be added to portage when it's released.