The last screenshot looks kind of good, it at least finds the debug adapter, but it was unable to connect to the target RP2040 chip. This is likely because
you did this this step wrong, the debugprobe.uf2 is for the “Debug Probe” hardware and changes the SWDIO/SWCLK pinout. (GP2/3 for SWCLK/SWDIO in picoprobe.uf2, GP12/14 for debugprobe.uf2)
You need to flash the picoprobe.uf2 on your regular Pi Pico.
Make sure to follow the right pinout then as documented, if not already the case.
So now I check another time the wiring and I made another test, so I uploaded a blink program on the DUT whit classical method, then I connected it to the debugger and noting seems working, so I measure Vin voltage and the surprise: my second board is not the official one and VSYS pin has not the VSYS volt because is called Vin (later I’ll check what is exactly) so it didn’t power on the target RP2040!!