Hello Shane,
There are three method to debug FRDM-KL25 on KDS :

If you use the on board debugger(OpenSDA on board) to debug , please update the firmware of
bootloader. About the detail steps please refer to this DOC: https://community.nxp.com/docs/DOC-330146
(Please pay attention this DOC is for FRDM-K22, you need refer to it use the firmware for FRDM-KL25)
Hope it helps
TIC