Using an Raspberry Pico as picoprobe debugger for another RP2040 based board

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.