I quickly checked with P&E and did some tests, and the P&E connection does a reset too (like Segger), so does not work as intended.
I have contacted P&E and they are looking into it.
Where it works with KDS is with OpenOCD connection: for this I have 'Connect to running target' enabled:

Plus 'Load Executable' disabled:

But this does not really help you if you have a custom board with P&E Multilink, unless you would use an OpenOCD FRDM board to your board.
Erich