Hello Marco,
I test one project(without KSDK) on my side , it can work well .
First , please be sure you have in stall the USBDM Ddiver (not the USBDM software )?
USBDM - Browse /Version 4.12.1/Drivers at SourceForge.net

Second , when you create project, have you select the Build tools :

The attachment is the project i test on FRDM-KL25, you can test it on you side .
The debugger configuration on my side is like this :

If your board is not FRDM-KL25, please also first create one simple project to have a try .
Hope it helps
Alice