Hello Kururu,
- The on board debugger is that there is a device MC9S08JM60 as the debugger,
we needn't use external debugger like Multilink . This debug mode is called OSBDM.
Only need connect the board with PC using a USB line.

So this is simple and cheap.
And the external debug is using a external debugger , for example Mulitilink and so on.
- I can't be sure whether the CW5.1 support win10, in the System Requirements doesn't mentioned this system:
you can find it at "HCS12X_Quick_Start.pdf" under CW5.1 install folder, I also attached it.

While the CW5.2 support Win10, so you can use the CW5.2 CodeWarrior® Dev Tools for HCS12(X) MCUs|NXP to have a try or use other win7 PC with CW5.1.
I use the WIN7, it can work well. Please pay attention the jumper again on your board as I mentioned
last time. Also please first use a simple project to debug .
Hope it helps
Have a great day,
TIC
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