The integer-gmp problems is that you don't have all the bits of the gmp library installed. This happens when the package system doesn't correctly pick them up, or when I install HP from outside the package system. The usual fix (on Linux, anyway) is to install the appropriate dev package to go with gmp. If OpenBSD hasn't yet succumbed to the idiocy of dev packages, it's possible the gmp library itself is missing.
I suspect similar issues with hs-vector: there's some dependency missing in the package system description.