I have now tried a "fresh from the box" MIMXRT1060-EVK, MCUXpresso 11.2.1, SDK 2.8.5, example project "evkmimxrt1060_lwip_httpsrv_freertos"
on-board probe in CMSIS-DAP mode works
on-board probe in LPC-Link2 fails (J42 fitted)
external LPC-Link2 fails (externally powered, J47,48,49 removed)
external PEMicro Multilink ACP works (I am yet to try SWO)
Perhaps someone from NXP support could look into the issue with LPC-Link2?