Version:            (using KDE KDE 3.4.0)
Installed from:    Gentoo Packages
Compiler:          gcc 3.3.5 CFLAGS="-march=pentium4 -O3 -pipe"
OS:                Linux

This is what I do in korganizer:

New Event (1.5.2005)
Create an Event Test (default values)
Recurrence
Enable Recurrence
Monthly

Recure on the 1st
Apply
The Event shows up on every last day of the month

Recure on the 2nd
Apply
Event is gone (in the main korganizer window)

Recure on the 3nd
Apply
The Event shows up on every 1st day of the month

Recure on the 5th
Apply
The Event shows up on every 3rd day of the month

Recure on the Last day
Apply
The Event shows up on every last day of the month

It works in KDE 3.3.2

Here's my emerge info:
Portage 2.0.51.19 (default-linux/x86/2004.3, gcc-3.3.5, glibc-2.3.4.20041102-r1, 2.6.11-gentoo-r4 i686)
=================================================================
System uname: 2.6.11-gentoo-r4 i686 Mobile Intel(R) Pentium(R) 4 - M CPU 1.80GHz
Gentoo Base System version 1.4.16
Python:              dev-lang/python-2.3.4-r1 [2.3.4 (#1, Feb 12 2005, 21:13:19)]
ccache version 2.3 [enabled]
dev-lang/python:     2.3.4-r1
sys-devel/autoconf:  2.13, 2.59-r6
sys-devel/automake:  1.5, 1.9.4, 1.8.5-r3, 1.6.3, 1.7.9-r1, 1.4_p6
sys-devel/binutils:  2.15.92.0.2-r1
sys-devel/libtool:   1.5.10-r4
virtual/os-headers:  2.6.8.1-r2
ACCEPT_KEYWORDS="x86"
AUTOCLEAN="yes"
CFLAGS="-march=pentium4 -O3 -pipe"
CHOST="i686-pc-linux-gnu"
CONFIG_PROTECT="/etc /usr/kde/2/share/config /usr/kde/3.3/env /usr/kde/3.3/share/config /usr/kde/3.3/shutdown /usr/kde/3.4/env /usr/kde/3.4/share/config /usr/kde/3.4/shutdown /usr/kde/3/share/config /usr/lib/X11/xkb /usr/share/config /usr/share/texmf/dvipdfm/config/ /usr/share/texmf/dvips/config/ /usr/share/texmf/tex/generic/config/ /usr/share/texmf/tex/platex/config/ /usr/share/texmf/xdvi/ /var/qmail/control"
CONFIG_PROTECT_MASK="/etc/gconf /etc/terminfo /etc/env.d"
CXXFLAGS="-march=pentium4 -O3 -pipe"
DISTDIR="/usr/portage/distfiles"
FEATURES="autoaddcvs autoconfig ccache distlocks fixpackages sandbox sfperms"
GENTOO_MIRRORS="ftp://gentoo.inode.at/source/ http://ftp.snt.utwente.nl/pub/os/linux/gentoo ftp://ftp.easynet.nl/mirror/gentoo/ ftp://gentoo.linux.no/pub/gentoo/"
MAKEOPTS="-j2"
PKGDIR="/usr/portage/packages"
PORTAGE_TMPDIR="/var/tmp"
PORTDIR="/usr/portage"
SYNC="rsync://rsync.gentoo.org/gentoo-portage"
USE="x86 X Xaw3d aalib acpi acpi4linux alsa apache2 apm arts audiofile avi berkdb bidi bitmap-fonts blender-game cdparanoia cdr crypt cups curl dga directfb divx4linux doc dvb dvd dvdr emboss encode esd ethereal fam fbcon flac font-server foomaticdb fortran gd gdbm ggi gif gnome gphoto2 gpm gps gtk gtk2 hbci imagemagick imap imlib innodb ipv6 jack java jikes jpeg junit kde kdeenablefinal kdepim kerberos kig-scripting kipi krb4 lcms ldap libg++ libwww lirc mad maildir mbox mcal memlimit mikmod mmx motif mozilla mp3 mpeg mysql nas ncurses network nls odbc oggvorbis opengl oss pam pcmcia pda pdflib perl png pnp ppds prelude python qt quicktime readline samba sasl sdl slang slp snmp socks5 softmmu speex spell sse ssl svga tcltk tcpd tetex theora tiff truetype truetype-fonts trusted type1-fonts unicode usb video wavelan wmf wxwindows xine xinerama xml xml2 xmms xosd xv zlib linguas_de linguas_en"
Unset:  ASFLAGS, CBUILD, CTARGET, LANG, LC_ALL, LDFLAGS, PORTDIR_OVERLAY