Hi Alex,
I tried to connect using PE micro and it works correct to me. Please clarify following points:
1) Check led diode D1. If this LED is ON, you may have incorrectly connected JTAG. Incorrectly connected JTAG connector may cause this issue.
2) Do you use mask 1N81M?
3) Did you create single core or multi core project?
4) Do you use default project and debugger settings?
Regards,
Martin