I had the same problem when I got my blank 9S08QE32s. I could not get the DEMOQE board (with a 6-pin header soldered in and cable to target) to program them, even though it will program the 9S08QE32 on the plug-in daughterboard just fine. I even wire-wrapped to the pins on the DEMO board, straight to an SO-to-DIP adapter with the QE32 on it -- no joy.
I had to buy the USB-Multilink. Had to cycle power on my target the first time, then it programmed fine. In my application, I set the RESET and BKGD pins to perform those functions (instead of the defaults), and now it goes into debug just fine without cycling power.
I never got a good answer from P&E or Freescale as to why the DEMOQE (or DEMOQG8) on-board BDM won't program a blank QE32. But it won't. (I was able to use the DEMOQG8 on-board BDM to program blank QG8s.... go figure.)
The chips on the daughterboards come pre-flashed with the demo application, which sets up RESET and BKGD, so the on-board BDM will work with them. I bet if you unsoldered the chip from the daughterboard and soldered on a blank part, it wouldn't go into debug.....
Probably intentional to keep from giving away free BDMs in the design contests....
Dale, W8ABZ