Hello Mark,
From this picture we can see it have not connect the debugger of board:

Do you use the OpenSDA (J5) for PE to debug, if yes , please configure the Interface like this :

- If you do not use which interface to debug, please check the "Device Manager" of your PC :

(on the screenshot , it is the JLink interface.)
-Pay attention that , the three debug method all can used , while corresponding firmware.
you can find the three firmware at here :
OpenSDA Serial and Debug Adapter|NXP

- Also about the debug of FRDM-K22 you can refer to this thread :
Summary of FRDM-K22F debug interface
Have a great day,
Alice
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