Hello everyone again, so at one point I just gave up ARM microcontrollers and kept working with my old good buddies, AVRs. I want to give Kinetis Design and ARM MCUs another chance. So basically I managed to successfully add new SDK 2.0 C/C++ project, and it builded with no errors.
I have followed the KSD_USERS_Guide.pdf that you attached.

So I have installed GDB PEMicro drivers and set up all the data in Kinetis Design Debugger Options as described in the pdf. There are several MCU Targets, I have tried to enter Bootloader and clicked on of the HTMLs : FRDM-KL25Z|Freedom Development Platform|Kinetis MCU|NXP . Seems like my board is KL25Z128M4. My MCU is plugged in, but under Port label I cannot see any devices.
I tried to run debug but I get the following error:

Two days ago I changed my bootloader to mbed, since I was able to successfully flash my MCU with mbed platform. Maybe I do need to install bootloader version from: PEmicro - P&E Microcomputer Systems: Over 30 years as an Industry leader in Embedded Systems Develop... in order to run debugging in KDS?
I have the following hardware information on my board:
Board Name is: FRDM-KL25Z
MicroBoot Kernel Version is: 1.03
Bootloader Version is: 1.05
Application Version is: 0.00
Besides debugging, is there a possibility like in Atmel Studio to flash compiled code on MCU directly from KDS?
About creating FreeRTOS project. I tried to create FreeRTOS project, however I am not able to build the project. There seems to be errors in makefile and tasks.c files
makefile
# Tool invocations
KL25Z_FreeRTOS.elf: $(OBJS) $(USER_OBJS)
@echo 'Building target: $@' // This line of the script that is in red and it doesn't tell anything
@echo 'Invoking: Cross ARM C++ Linker'
arm-none-eabi-g++ -mcpu=cortex-m0plus -mthumb -O0 -fmessage-length=0 -fsigned-char -ffunction-sections -fdata-sections -g3 -T "../MKL25Z128xxx4_flash.ld" -Xlinker --gc-sections -Wl,-Map,"KL25Z_FreeRTOS.map" --specs=nano.specs -specs=nosys.specs -Xlinker -z -Xlinker muldefs -o "KL25Z_FreeRTOS.elf" $(OBJS) $(USER_OBJS) $(LIBS)
@echo 'Finished building target: $@'
@echo ' '
in tasks.c I have several undefined references to function calls of methods portRESET_READY_PRIORITY and port_RECORD_READY_PRIORITY
I have created FreeRTOS project as File->New->Kinetis SDK 2.x project -> checked on the right side "All drivers and RTOS " boxes & chose under "Processors -> New MKL25Z128xxx4 project"
Best regards.