Hi Carlos Rodriguez
About Segger debug firmware, user guide says that FRDM-KW40Z uses openSDA v2.1, could you try with J-Link OpenSDA - Generic Firmwares instead of Board-Specific Firmwares? then it should works.
About debugging step-by-step and memory, could you look in the following link, maybe it could guide you in how use KDS:
KDS Frequently Asked Questions (FAQ)
Hope this information helps you
Have a great day,
Jorge Alcala