For some reason I never noticed this on the ye-olde laptop (it was running NetBSD 6.1.3, but I don't think that was why), but on this NetBSD 7 machine I noticed this exact error message on boot. Even if I manually created it using sudo rndctl -S /var/db/entropy-file it would still disappear at some point.

After reading this thread I now understand why and what is meant to happen:

  1. When the system shuts down the entropy-file should be created
  2. When the system next boots the entropy-file is loaded and then deleted

It turns out I'd also been falling foul of shutting down incorrectly: I've always used poweroff. I don't know where I learnt that from, but I never realised I should be using shutdown -p now instead because poweroff doesn't run the shutdown scripts. Whoops.