When selecting another language in the gdm window for a KDE session you are asked whether you want to have this as the default language for future sessions. Although _this_ session appears in the chosen language, future sessions appear to have English as the default language again. I don't know whether this default would be kept for the whole system or for individual users (somewhere in /etc/X11/gdm ?), but I couldn't find anything back.
gdm doesn't interface perfectly with KDE. It may or may not in future versions. If you prefer, remove gdm and use kdm.