I don't think KG leads the 05-06 Mavs to the finals. That team just wasn't very good aside from Dirk. I mean the rotation was essentially Jason Terry, Devin Harris, Josh Howard, Erick Dampier, Jerry Stackhouse, Adrian Griffin, Desagna Diop, and Marquis Daniels.
That is a pretty poor team, especially defensively. They won 60 games with 14 different starters and guys like Rawle Marshall started 9 games. Only 4 players even played in 63 or more games (Dirk, Terry, Dampier, and Diop). I just don't see KG being able to do that nor do I see that team as all that much worse then any number of the Wolves teams. For example, the 01/02 Wolves had KG, Billups, Wally, Joe Smith, Rasho, Peeler, Trent, and Mitchell as the basic rotation. It won 50 games and were swept by Dirk's Mavs in the first round (Dirk, Nash, Finley, LaFrentz, Van Exel, Najera, Zhizhi, and Buckner was the playoff rotation).
While KG is a better defensive player then Dirk he isn't a crunch time player. He is very similar to Lebron in that regard, which is why KG constantly came up short in the big games in Minnesota. KG has always been a Pippen like player and needed that MJ type player to take over in crunch time. Pierce is that guy and in his one season in Minnesota in which he won a playoff series, Spreewell (and Sam I Am to a lesser extent) filled that role.
That is why If I'm picking a player to be my #1 go to guy, I'm taking Dirk. If I already have a #1 guy, I'd much rather have KG as my #2 then Dirk.