The /etc/security/login.cfg herald is for ASCII terminal type logins, telnet
also.
For a CDE graphical console login put various things in:
/usr/dt/config/C/Xresources
(And for /etc/motd to be displayed edit /usr/dt/app-defaults/C/Dthello)
For SSH logins there is the ability to have a "Banner" file,
but remote systems may have trouble seeing it, such is the
bugginess that is SSH

:
/etc/openssh/sshd_config (or where ever your SSH version has it.)
For FTP you can change the message catalogue:
/usr/lib/nls/msg/en_US/ftpd.cat