OK, to answer my own idiocy:
1) yes, you need to get 43_OpenSDA_USB-KW41Z.bin onto the dongle to use J-Link
2) you need to do a clean build of a project BEFORE you clone it. so to clone, say, end_device_ota_client :
a) build end_device_ota_client to create the debug folder and files like MKW41Z512xxx4_connectivity.ld in the original
b) clone that original