I had this problem too, and now think there is actually something
wrong with the source.  As I read things, the greeter can either be
statically linked into xdm, or a shlib.  Given that I don't often want
to change the greeter (or rather often want to ditch the gaudy xfree86
logo for a traditional xdm look, but have never done it), which way
doesn't seem to matter much.

The problem is that the greeter lib is installed in /usr/X11R6/lib but
looked for in /usr/X11R6/lib/X11/xdm.  I have kludged around this with
a symlink.

I didn't manage to figure out the twisty maze of little imake
#defines; probably the greeter should be static (an system without a
recent build has xdm with the /usr/X11R6/lib/X11/xdm path compiled in,
but there is no lib on that system either).

-- 
        Greg Troxel <gdt@ir.bbn.com>