That's as far as I went before removing the NXP software and installing an evaluation copy of Ubilogix Ubiqua Protocol Analyzer to check if the USB-KW41Z could also sniff 802.15.4 packets. That appears to work, too!

More confirmation that the USB-KW41Z is programmed with the sniffer and is functional.
Note that this and the earlier Wireshark output were produced on a borrowed laptop running Windows 10 Enterprise (64-bit), Version:1703, Build: 15063.483 with all recent updates applied.
I reinstalled Kinetis Protocol Analyzer Adapter 1.2.5 on the original laptop running the same flavour of Windows. Virtual Com Port (COM5) is running the Freescale driver (Version: 1.0.0.0, Date: 16/02/2011) and Freescale Kinetis-W Network Interface is running the Freescale driver (Version: 1.0.0.1; Date: 14/08/2014). Kinetis Protocol Analyzer Adapter still fails to start but at least Wireshark 2.4.0 (v2.4.0.0-g9be0fa500d) no longer pops up the Debug Console! Tried the USB-KW41Z in two different USB ports, same result! Both ports work fine with other USB devices. When Wireshark starts there is no traffic on Ethernet 2 (Freescale Kinetis-W Network Interface. I thought the problem might have been my VPN Manager firewalling Ethernet 2 but the same behaviour occurs when my VPN Manager is disabled. Strange! Not sure what might make two similar laptops behave differently ...
Anyway, I'm happy that the USB-KW41Z works as a sniffer on the borrowed laptop.