Since Cunning improves both armor penetration and mental resistance, would it make sense for a warrior to make this his second stat to increase after STR/DEX?
No. Attributes that increase damage contribute much more to to overcoming damage reduction ('armour') than the negligible armour penetration from CUN.
If you shift a few leftover points into 'mental' attributes like WIL then the effect on mental resistance is insignificant. I.e., it won't be high enough to make an appreciable difference.
In resistance checks, the 'attacking' attribute mod and level difference times five is subtracted from the target's resistance, and what remains is the resistance chance (capped at 75% for the player). In most cases this means that the attacker's primary stat - like spellpower for a mage, strength for a warrior - is pitted directly against your resistance.
Notable exceptions are Scream and Cursed Dance for Desire Demons (strength), and the templar abilities (willpower). Riposte is broken (cunning).
Here's a list of abilities that involve a mental resistance check:
mental vs. cunning
lures
Bard: Distraction
Bard: Captivate
mental vs. strength
Desire Demon: Scream
Desire Demon: Cursed Dance (only for male/neutral victims)
Reaver: Frightening Appearance
Dog: Growl
Dog: Howl
Shriek: Terrorise
mental vs. spellpower
Archdemon: Smite
Mage: Horror
Mage: Sleep
Mage: Waking Nightmare
Blood Mage: Blood Control
As you can see, it is very rare that mental resistance is actually needed. The only case where half-assed mental resistance might make a difference - however small - is against Desire Demons (Scream, Cursed Dance).