Dear Luca,
your steps and JLink.exe screenshot look correct. As soon as the JLink.exe connects to the device, it also starts the RTT server at port 19021 and is ready to accept connections.
FreeMASTER does not depend on having telnet installed in system. It uses an internal TCP connection directly. However, the telnet utility is quite useful to test if the RTT server is reachable. There are also other tools like TeraTerm which are able to connect by telnet/TCP link.
In my case, I'm able to connect with telnet and I get the following "welcome" message:
> telnet localhost 19021
SEGGER J-Link V7.56d - Real time terminal output
J-Link OpenSDA compiled May 27 2019 10:59:53 V1.0, SN=621000000
Process: JLink.exe
It would be good if you could verify the connectivity the same way. I think the local firewall or antivirus software may block the incoming connection even for localhost clients (like FreeMASTER).
Regards,
Michal