Hello,
1) let me ask you which version of S32 Design studio are you using?
I'd strongly recommend you install the latest update #13

Please go to installed software and check S32Z2/E2 Development package version

or alternatively you can check it in S32DS Extension and updates:

2) Which board are you targeting? Is it NXP one e.g. S32Z27x - DC (Daughter Card) ?
3) Which S32 Debug probe interface are you using (USB or Ethernet)? Is TX/RX led blinking green when you connect the probe to the board?
4) Have you been able to connect to any other device using S32DebugProbe?
5) Can I ask you where you get the example code you are trying to build and debug?
This will help to address the loading issue much faster.
Thanks,
Stan