Denny, over the few days I used the camera I accumulated many 1/800s images at the long end of the zoom and they are all blurry, blurrier than same things shot at much lower shutter speeds, with or without the ND filter. I only applied the filter to shoot exactly the same scene at the same moment in time as a convenient example. If the camera were not malfunctioning, the image with the filter applied would not have looked better. ND filters never make images look better, even quality ones, and the built-in one in this case is actually quite mediocre. Try shooting pairs of images using this kit zoom with and without the filter and see for yourself.
Now the shop in my country has failed to address the issue and they shipped the camera to a Pentax repair facility in another country so I am still waiting for their reaction and they might come back with something you have tried to say here (user error/we don't see anything), but I have been dealing with different digital cameras and lenses for over a decade and I clearly see when something is wrong like this. I hope they have the good grace to either repair or exchange the camera without starting an argument they cannot win.
I am still interested to know if this is a freak defect or something more widespread, like the shutter shock around 1/100s in (older) Olympus m4/3 cameras. But I don't think the Pentax dealership will tell me that