Hi, Kan Li,
Thanks for your information, here is my update for this issue.
Change Debugger to PEmicro

Enable Debugger download options. (Very important, it seems the root cause)

Change P&E hardware interface to OSJtag to OpenSDA (it seems we don't need the patch, since EWARM 6.50 has supported OpenSDA already).

Start debug session.
It reports same issue as well.

Then I changed run to main as run to '__main'.
No complaints.
When there is no user application in the flash memory, the bootloader seems always come back to __main. I will evaluate this operation with a simple user application.
Thanks for your support.
Currently, my project for KL25Z interface to Android device (GAP, as Generic Android Perpheral) is almost finished. I am trying my best to make it a complete solution available to market, with bootloader (UART and USB MSD in future), demo firmware and demo application on Android, as well as necessary documentation.
I hope to get more support from Shanghai office.
UPDATE
The AN2295 related document is shared at FSL community:
https://community.freescale.com/docs/DOC-95429
Yours sincerely
Allan K Liu