Thank for this simple answer. For others that end up here as well, here's the crucial information from the referenced blog post:
"Note that using the JTAG debug port (e.g. with Segger GDB server), the jumper J39 *has to be removed*! If the jumper is on, then the Segger GDB server silently quits (crashes?). Actually it shows an error message, then closes."
So, for external JTAG, remove J39.
I've went through the list of jumpers, but missed that one.
It would be helpful, if Jumper J39 could be mentioned in the TWR-K64F120M Tower Module User’s Guide, e.g. at 6.8.