If you want to set mac adress on e.g. wlan0 through /etc/rc.conf, it must be done as part of a create_args statement.
From 31.7. Link Aggregation and Failover in the Handbook (at the very bottom).
Not easy to find or understand, if you don't know what you are searching for, neither from reading ifconfig(8) or rc.conf(5) or the wlan section of the Handbook. Setting up link aggregation on my notebook and thus reading the section I mentioned above helped me understand.
As far as I understand it, for virtual devices, the mac adress can only be set within the ifconfig statement on the command line.
In /etc/rc.conf this must be separated into a create_args statement.