Hello Gregori,
The sniffer will start to follow the connection when a Connection Request packet is received, and yes, you can use the USB-KW41Z.
For further information please check the USB-KW41Z Wireless Protocol Sniffer Quick Start Guide document located in the following path of the connectivity software.
<installation path>\MKW41Z_ConnSw_1.0.2\docs\wireless\Common
Regards,
Estephania