If you're talking about the Flash Function Settings on the 5D II and 7D, those are actually the on-camera controls for an attached, supported, Speedlite EX model. The Second Curtain Sync CF on the 5D is a totally distinct function that works with any flash wired to the camera (in this case via the PWs).
It gets even more confusing with the 1D3, where there are both the Second Curtain Sync CF (which controls when the camera sends the signal, to any flash) and the Flash Functions Setting (which supports only selected Speedlite EX flashes). I don't know what would happen if you set the camera to "Second Curtain" via the CF, and set the flash to "Second Curtain" via either the flash' menu or the camera's Flash Function Settings. Would it wait indefinately after receiving the camera's "trigger" from the release of the second curtain, or are the supplemental contacts used to send all shutter timing info to Speedlite EX flashes, making the CF setting irrelevant? And would that mean that you could get both First and Second Curtain flash by setting the on-camera Speedlite to First Curtain (either in Speedlite or via Flash Functions) and the CF to Second Curtain (with a flash connected to the PC socket) or vice versa?