Sorry, but here's a few more 2nd Curtain Sync ponderings ..... this question has, as so often with these sort of intricate compatibility matters, got me thinking over it all again ......
I realise that the issue of 2nd Curtain Sync in Wireless mode is really not well documented, not in the Pentax Manuals and not in detail in my Guide either. So its a good candidate for a re-think, and I will certainly provide the needed information in the next Guide update!
A flick through the Flash Manuals for the two Pentax '540' models reveals precious little of any use relating to 2nd Curtain Sync plus Wireless
Also I had a look at both the K5 and K3 Manuals ..... The K5 Manual, on Page 194 (within the "Wireless Shooting" section) has this paragraph ....
"
Trailing Curtain Sync When using the built-in flash with an external flash (AF540FGZ or AF360FGZ) that is set to the Trailing Curtain Sync mode, the built-in flash will also use this mode. "
This seems odd ..... optical communications are one-way, from controller to slave. Therefore how could any setting made on the slave be communicated back to the controller? Plus there is no optical sensor on the camera. And finally, Trailing Curtain sync mode cannot be set on an accessory flash that is in Slave mode.
This passage does not appear in the K3 manual .... perhaps also subsequent manuals. What do we think about this?
I did some test to confirm everything, and this is how it is :
When a Pentax flash is set to 'Slave Mode' (ie it is to function off-camera), then no Sync modes can be set simultaneously on that Slave (the flash remains stuck in leading curtain sync mode). The required sync modes for Wireless operation need to be set on the 'control / master' accessory flash (eg 2nd Curtain, HSS) ..... the sync mode set is transmitted during the Pre-Flash to the slave. Therefore for both HSS and 2nd Curtain then just leave the Slave flash set to Wireless P-TTL (slave) and set the sync mode on the control flash.
This of course rules out the Built-in flash for both of these sync functions, because HSS is not offered and 2nd Curtain cannot be set simultaneously with Wireless mode. So we need an accessory P-TTL flash on the camera for these wireless sync modes to operate.
Of course, in this thread the OPs particular problem is that he is using a radio trigger that is dedicated to the Canon system .... it is just incompatible with Pentax P-TTL and so cannot transmit the sync mode to the flash. I believe that a 'Radio P-TTL' trigger system, such as Aokatek or Acon (and Cactus soon once the XTTL firmware comes out) would be needed for Rdaio control and 2nd curtain sync off-camera.