Hi Shaul,
If you drill down into the KDS_3.0 folder to find PEx_for_Kinetis_3.0.1_Release_Notes.pdf it shows what Boards are supported for none KSDK PE support. Sorry to say FRDM-KL25Z is not one of the supported boards.
That same document indicates that the KL25Z processor family is supported.
So I believe this is what you are seeing.
It would be nice is PE would not give you the option of the unsupported boards but the Board/Processor selection comes before the un-selecting of the KSDK. A catch 22.
Regards,
David