Hi Juanjo,
I decided to make a new KSDK project with PE support and copied code from CDC example and got same problem than yours.
I was able to find the root cause of it: KL43Z was not responding to USB commands (no response to GetDevicedescriptor command, so that is why device was not enumerated). In this case, clock source for USB needs to be 48 MHz (as I was configuring correctly) but, core clock needs to be at least 20 MHz (In my case, core clock was configured by default to run to 4 MHz), so, that is why PC did not get response from device.
Then, i made some changes in order to get core running to 48 MHz.
In PE manager, select clockMan1:fsl_clock Manager and look for Clock Settings window (as show below)

Then, if select MCG Lite Settings tab, current selected mode is LIRC_8M, so, MCGOUTCKL is 4 MHz (below core's minimum value), so, I changed it to HIRC to get a 48 MHz clock signal in MCGOUTCLK.

Now, we must set core clock and bus clock to 48 MHz and 24 MHz respectively, Select System clock tab and then set these frequencies as shown below:

I saved these changes, generated the new code, compiled again my project and tested it, I noticed it works correctly. I attach this example so you could test it too.
Unfortunately, when I did same modifications on your project, i got an error and device was still not being enumerated (modifications on clock module does not get updated, it seems to be a path error in your project settings). I will be working on it but meanwhile you can use my project and try to add your additional code.
Best Regards,
Isaac Avila