(image source: johnbiehler blog)
You will then see this icon indicating that your flash is on remote-triggering mode:
Other than the Pocket Wizard, the P6000 also supports Nikon CLS as well as other remote triggers such as the Cactus Triggers as shown in this article on johnbiehler blog.
I did notice that if you turn off your built-in flash while having your Pocket Wizard on the hot shoe (turned on) the camera might not recognize the PW right away (it happened once) in M-mode so you might wanna turn off your camera and turn it back on again to use the PW with M-mode.
I haven't played with the CLS on this camera much but the original press release only stated that the SU-800 (NOT SB-800) and the SB-900 can be used as the commander so I'm not sure can the Nikon SB-800 be used for such purpose.