A function is a piecewise polynomial if and only f it is a linear combination of functions, each of them having some derivative equal to a finite sum of Dirac measures.
The jth Fourier coefficient of the Dirac at a is $e^{2\pi ija}$, and integrating amounts to multiplying the coefficient by some power of $1\over j$.
As a result, a function is a spline with finite support if and only if its Fourier coefficients $c_j$ can be written as a finite linear combination of terms of the form $e^{i\pi ja}\over j^k$, $k\in \mathbb{N},a\in \mathbb{R}$.
You can see that this is the case in your formula by expanding the coefficient $c_j=({{e^{i\pi j/K}-e^{i\pi j/K}}\over j/K})^p$.