Originally posted by bdery Bulb will keep the shutter open AS LONG AS YOU PRESS IT. Impossible to do with the wireless remote.
Put the camera in bulb mode. Go to custom menu 19, make sure it's on
Mode1: Push remote control release button once to start exposure and a second time to end. Set drive mode to remote control.
Then all you have to do is press the button on the wireless remote to start the exposure. The shutter stays open. Press the button on the wireless remote to end the exposure. DONE. And as someone who actually owns the K-5, I just tested it and yep, it works. Kind of blows the "impossible to do with the wireless remote" statement right out of the water.
As for what the OP is experiencing, how many times were you pressing the wireless remote? If you're in MLU mode, first press moves the mirror up, then the 2nd press starts the actual exposure. It probably isn't the issue, but it's a start.
^BBear above also makes some good points. Timing a shot to get lightning isn't all that easy, and at ISO 200, 4seconds, F8, all you might end up with are dark frames; although you did say
"Checks the pictures – nope – all from earlier.", so that probably rules it out.