is this a bug - does it cause any problem ?

If one has many dpi, and cannot see what one types because the font is so very small, I would say it is. There is no zoom-in in tty.

Tiny font on highDPI displays in not a bug. There is a large section on the Arch wiki on how to deal with the issue.
One work around would be adding a setfont command to your .bashrc

That way even if the login prompt is tiny the console font will be corrected one you login.

If you set the consolefont after xdm in installed and enabled does the setting stick or does xdm constantly clobber it?
Is the actual setting getting undone? Or is xdm just setting framebuffer ttys to some default state?

Thank you, Bill. I had checked that [documentation] . Over there you will have three ways to change the font:

1. setfont: I cannot use `setfont' in .bashrc, because it asks me for super-user permissions
2. vconsole.conf: this only works with systemD (or was not working with OpenRC, and that is why I had to work with /etc/conf.d/consolefont)
3. fbcon: /etc/conf.d/consolefont and xdm override the configuration

Regarding:

Or is xdm just setting framebuffer ttys to some default state?

I don’t know if it brings the font to a default state, but it certainly looks like that. If you let me know how to check it, I will.

One more thing. Since my video card does not play well with free software, I have to add `nomodeset' to the kernel line (on the boot
loader). I don’t think that this has anything to do with it, but who knows…

And just to make sure:

openrc 0.42.1-5
linux-libre 5.6.12-gnu-1
lightdm 1:1.30.0-3
xdm 0.5.3-6

[documentation]
<https://wiki.archlinux.org/index.php/Linux_console#Fonts>