"Massive bonus" is perhaps +20 to hit and +10 to damage or maybe less. I wouldn't say it's even remotely close to massive.
Still, it is an obscure piece of information.

An in-game hint would be nice, but maybe it could be incorporated into what Thrundarr already says about Rolf instead, since the fortune cookie messages seem to be more general pieces of wisdom and don't mention specific names so far.

Well, +10 to damage is basically the difference between an orcish spear and an eternium spear, and accounts for about a 60% increase in the base damage of the weapon. It's pretty substantial.

I agree that this information should be available somewhere. Instead of a fortune cookie, I'd rather it included in Thrundarr's dialogue.

I'm upvoting the fortune cookie instead. It's a nice tidbit of information which gives you a nice boost, but you can live without it. There's sufficient Thrundarr dialogue already anyway.

+10 melee damage is massive, considering it takes many points of Strength and/or weapon skill levels to reach that. Also, a critical hit turns it into 20 points - or even 30 if you've blessed the axe and fight undead and demons.

Without the bonus Rolf's is comparable to the scorched spear, in damage.
With the bonus Rolf's sits in between executor and big punch, outperforming skullcrusher, a sword of sharpness, whip of slaughtering, mace of destruction etc.

edit: Also, people in this thread keep quoting damage... Weilding the set correctly gives you +10 tohit as well as +10dmg.

If you don't think the difference between scorched spear and big punch is massive, then it's just a matter of my definition of 'massive' being bigger than yours. Sorry if I picked the wrong word.
My point is, there's no hint to this debatabely major difference in damage of an interesting artifact with a little ingame backstory. Maybe if asking thundarr about Rolf gave some sentence about him being left-handed, there would at least be a clue for unspoiled or new players? Edit: Already mentioned by basically everyone else in this thread. You're all right - it would probably be better in Rolf's Dialogue! Part of me still loves the idea of a statue of Rolf in dwarftown though!

(My current character (dwarf ranger) is weilding the shield and axe correctly, and I'm really quite taken aback at just how powerful an artifact it is. I cleared darkforge at level 14 without breaking a sweat...)

I like the idea of having a statue of Rolf in the middle of town ^_^

I had no idea that this bonus existed, but as a real-life lefty I've always wielded weapons left-handed in ADOM too. Wondered why nobody else seemed to love the Rolf set like I did.

Added a fortune cookie.