Since you did not put pin numbers on your diagram or state which package you are using, it is impossible to say if you hooked things up correctly. In fact, since there are no pins numbers, how did you wire it? I usually take that page from the spec sheet, print it out and pencil in the pin numbers from the package diagram.
You don't show how the led is connect either. If you are using the 64/32/44 pin LQFP, there are at least 2 VDD and VSS pins that must be connected, possibly others..
I've wired up 6 boards using 6 different processors using the diagram from the spec sheet, and AFTER I corrected all my wiring errors, it always worked. My motto is wire once, check 3 times.
Are you saying that you can connect with a BDM and Codewarrior?
If so you should generate a "default" project using Processor Expert (choosing the correct MCU) and use the internal clock generator to test things out first. That way it does not matter if you correctly connect the xtal.