I'm not sure what you're asking for.
KDE cannot offer shutdown options if you use gdm, simply because gdm developers haven't gone to the extra lengths to make it interoperable with KDE sessions. Recent versions of kdm (4.6) should work with both GNOME and KDE.
Packages are "configured" upon installation, but can be reconfigured with dpkg-reconfigure as you did with gdm. Trying to configure an already configured package will just throw an error, yes.
As it is now, is anything not working?
$ sudo dpkg --configure kdm
[sudo] password for zorael:
dpkg: error processing kdm (--configure):
package kdm is already installed and configured
Errors were encountered while processing: