Hi @saulius1005
Thanks for reaching out.
Are you still having issues?
The below warning shows that there are debug firware updates available.

If one hovers the cursor over the warining , the SWLinkServer_1.4.85.exe download link will appear. Please download and install this SW.
To update the FW of the on-board debugger of the FRDM-MCXN947 ( MCU-Link ) you need to:
1 Navigate to MCU-LINK_installer_3.133 folder on your PC. Default path is C:\nxp\MCU-LINK_installer_3.133.
2 Navigate to scripts folder and double click on program_CMSIS or program_JLINK. Download the FW of your preference. Default is program_CMSIS, which is developed by NXP. J-Link FW is developed by Segger and allows you to use Segger tools, like J-mem or J-Link commander.

3 Set the MCU-Link into DFU mode, by shunting J21 header and performing a power cycle.
4 Press a key to run the debugger update script. Below an example of succesful programming of CMSIS DAP FW.

5 Remove J21 and do a power cycle.
6 Start a new debug session. As you see, the warning is not longer appearing.

I hope this could help you.
Diego