The politics of losing

[LDiCesare]

you've lost, how soon do you go AI?

Never unless nobody can profit from your going ai. Which means you may do that the turn before your castle is stormed, but there's little point to it at that time.
Going ai screws the game for everyone else, so it should never be done.

Is it reasonable to collude with nation B by having them take some of your provinces so that nation A is funneled over a specific path?

Totally acceptable for me.

Under what circumstances would you play the kingmaker and support nation 2?

I keep playing along the lines of what I did before. If I'm allied with either, I'll stick to it. If you can't support player 2 until he tips the balance and then backstab him to try to win yourself, then I'd just go with what I used to do or try to get a lot from player 1 so I can maybe get a chance of winning.
However, if I have a chance of changing the game balance, then player 1 should probably consider it and give me something in order not to lose. And 2 in order to win. If I'm in a king-making position, I should be able to bargain my way out of that position into a 'can win' position.
The only exception I can think of is certain uncommon victory conditions like cumulated VPs or such. I'd probably not intervene in these cases, unless I've been at war with one player in which case I'd stick with that war.