Hi CSMG Sarma,
I don't have the ULINK on my side, so I just test the external JLINK+TWR_K64F120M +MDK.
From the keil website, ULINK should support K64 chip.
Now answer your questions:
1. Is it possible to launch debug session with Ulink2 debugger with default jumper settings?
No, you must remove the J39, the default is connect the J39, this pin is connecting the SWD_CLK pin to the on board debugger.
If you want to use the external debugger, you need to remove J39.

Besides J39, please also connect J2 to power on the board.
2. You problem about :cannot load flash programming algorithm
Please check the algorithm on your configuration, the RAM for algorithm, and the Programming algorithm, the following picture is from my side:

I can download the blink project from the install path with external JLINK.
So, please check algorithm on your side at first.
Actually, about the ULINK question, and the keil install path problem, you also can contact with the keil engineer, which you can find from this link:
Keil Product Support
Wish it helps you!
If you still have problem , please let me know!
Have a great day,
Kerry
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