I need to build several sites with component sharing (K2, Virtuemart & Community Builder).

However, Component sharing can only be configured between a Master Site and its slave sites.

My question is: instead of setting an new individual JMS master site, can I install JMS to a slave site and share the components between this second level JMS Master site and its second level slave sites?

FALSE, you can share extension between any websites.

You just have to define a JMS templates that use a given slave site as site to replicate and shared.
You can either share the "master" OR the parent slave site that is used in the JMS templates.

See for example how to create a website from the front-end that create website based on another website than the template (tpl_master). This illustrate the case where you define a JMS templates based on another website than the master.
www.jms2win.com/tutorial#jms12x-13


JMS can NOT be used in a slave site.
Normallly, only the master website should have the JMS installed.
All the other websites are slaves.