Here's how my setup works. I believe my gdm.pid file is in /var/run. This file is created when the second gdm is run. On my system there are two gdm's running. I believe the first one starts the second one and the gdm.pid file contains the pid of the second one. When you kill the second gdm, the gdm.pid file is not erased. The first gdm that is running is notified that the second gdm has died. This causes the first gdm to restart a second gdm. When it does, it sees that a gdm.pid file exists and it checks the number in the file against the pid of the new gdm that it has started. If the numbers don't match, it says that it was msyteriously murdered. To stop this message from being displayed, you have to delete the gdm.pid file. Also, the correct way to kill the gdm is to kill the first gdm program. When you do that, it will kill the second one and it will erase the gdm.pid file. So, when you start up gdm again, you won't get that message.
When you are in X windows and use the key sequence CTRL-ALT-BACKSPACE , it kills the second gdm. But it does it in such a way so that the gdm.pid file is erased and a new gdm is started.
I hope this helps.