Cannot debug project using "MPLAB X IDE" on "PIC32 Bluetooth Audio Development Kit" with "PICkit 3 In-Circuit Debugger"
The (harmless) watchdog pop-up can be disabled using #pragma config FWDTEN = OFF, typically placed together with other configuration pragmas just before the main function.

My real problem was indeed with PGC/PGD settings (as suggested by the error message).  I missed this at first because searching for PGC and PGD yielded no hits.  Then, in the schematic, I noticed PGEC2/PGED2 and found ICS_PGx1 in the configuration.  Solution turned out to be trivial:

#pragma config ICESEL = ICS_PGx2 // ICE/ICD Comm Channel Select (Communicate on PGEC2/PGED2)


placed in the code just before the main.