Hi James,
The FRDM-KE04Z Freedom boards have on-board debugger capability via the USB connector. You do not need to populate the 10-pin header. The USB provides power, debugging, Virtual COM Port, and debugger firmware update capabilities.
For a custom product you develop, then you would need to have a 10-pin debugger header that will work with PEMicro, Segger, and other debugger hardware.
Regards,
David