I know this post is slightly old, but for those that come across this issue in the future...
In order to have python available in ArcPad, you need to make sure that you have Python and PyWin32 Python Extensions for Windows (both free downloads) installed. Once installed, then the Python option will be active in Studio, and recognised by ArcPad.
See the 'Working with scripts' in 'Scripts, ArcPad XML, and the ArcPad Object Model' ArcPad help for more information: ArcPad Help