That script is not part of xdm, as odd as it might sound.
xdm has actually two meanings:
- xdm, the init script/service. It's a service that enables graphics logins by calling a display manager.
- xdm, the display manager. It's one of the many display managers that exist, along with kdm, entrance, gdm, and a few others.
So, the xdm service can call the xdm display manager, but also any other display manager.
The x11-apps/xdm package contains the xdm display manager. The xdm service is contained in x11-apps/xinit. The mystery now is "why the hell isn't that package already installed?". That package should have been installed as a dependency when you installed Xorg. It doesn't only hold the xdm init script, but also some very important files like startx or xinit...