Ok, there is a trap in the documentation.
The step "Build, Download and Run" is not well explained.
You have to use a different firmware for your board, i.e. Segger J-Link or PE-Micro.
The default firmware will not work.
Try the combination Segger J-Link (it's free) and KDS.
In this case you have to download the bootloader on your board first.
Take a look at:
https://community.freescale.com/docs/DOC-105199
and
http://cache.freescale.com/files/soft_dev_tools/doc/support_info/KSDK13GSUG.pdf?fsrch=1&sr=8&pageNum...
Skip the sections IAR, Keil, TrueStudio and ARM GCC.
When you've updated the firmware on the board,
you'll use the Debug, not Run. It will also flash.
Described on page 29 of the doc in the 2nd link.
Good luck,
Joerg