I've not had any luck getting debugging to work with MPLABX v4. It seems each new version of MPLABX gets worse and worse.
I'm not sure what's different, but I've lost interest in finding out. They probably changed the .cof debugging format again.

Your best bet is to stick with MPLAB8 if possible. Doesn't help much with newer chips, but it just seems microchip doesn't care much about getting 3rd party stuff working in the MPLABX ide. They keep changing things with no regard for what they're breaking.