Hi,
Thank you for the confirmation, now that you are using the correct project folder I was able to replicate the issue. Unfortunately the pdf document is missing a step in the debugging chapter.
Since the K32W061 build for the lighting-app has the OTA feature enabled by default, the board flash needs to be written from address 0x0 to 0x4000 with a SSBL (second stage bootloader) described in chapter 4.2 of the document.
In order to flash the board correctly and be able to debug the app you have two options:
1. Deactivating the OTA feature
If you do not need the OTA feature you can deactivate it in the build command and rebuild the app without it:
$ gn gen out/debug --args="k32w0_sdk_root=\"${NXP_K32W0_SDK_ROOT}\" chip_with_OM15082=1 chip_with_ot_cli=0 is_debug=false chip_crypto=\"platform\" chip_with_se05x=0 chip_pw_tokenizer_logging=true chip_enable_ota_requestor=false"
$ ninja -C out/debug
$ $NXP_K32W0_SDK_ROOT/tools/imagetool/sign_images.sh out/debug/
After rebuilding the app without OTA you can perform the exact same steps and you should be able to debug the app without any other modification.
Additionally, since the OTA feature is disabled, you can also disable the log tokenizer by setting pw_tokenizer_logging=flase in the command above.
2. Changing the MCUXpresso project configuration
If you want to use the default app configuration, including the OTA feature, you will need to first write the SSBL binary and PSECT information on the board as described in section 4.3 ->"Flashing the application using DK6Programmer"
After writing the SSBL and PSECT you will need to modify the MCU setting to change the flashing start address to 0x4000

After applying the changes you can check that the configuration was correctly updated in Debug Configurations -> <your-config-name> -> GUI Flash Tool -> Program tab -> Options -> Base address field. If correctly modified it should look like bellow:
Lastly, you will need to change the Erase algorithm from "Mass erase" to "Erase by sector", otherwise MCUXpresso will erase the entire flash, including the previously written SSBL and PSECT, before writing the app. This can be done also from Debug Configurations -> <your-config-name> ->GUI Flash Tool -> Erase tab-> Algorithm section:

After this the debugger will take you to the main.cpp file and you will be able to go through the code step by step.
Let me know if you encounter any issues while performing any of the two approaches.
Best regards,
Razvan