This is because you have installed certain FreeBSD sets, which are meta
packages. I do admit that the messages from pkg should be improved.
If you want to know what FreeBSD-set-* pulls in FreeBSD-sendmail as a
dependency, use "pkg info -r FreeBSD-sendmail", and then uninstall the
set. You can then uninstall FreeBSD-sendmail.
On my VM which I dedicated to understanding pkgbase, I only have
FreeBSD-set-minimal-jail and FreeBSD-set-kernels installed.
"man freebsd-base" also helps.
hth,
Robert