Where does JTAGSEL connect to on a JTAG header?
JTAGSEL is not a pin the JTAG box uses, because it fundamentally changes what the JTAG box sees on the interface. There's no practical way to switch between the two without cycling power.

The JTAG interface can work with the ARM in two ways:


As a standard JTAG debugging port. The ARM runs and is controlled by the internal debugger circuits, allowing things like starting and stopping execution, setting breakpoints, reading internal memory, etc. This is the mode debugger (e.g. gdb) users are familiar with, and most likely what you want.
As a boundary scan interface. This pretty much shuts down the ARM's internal functions and lets the JTAG interface to directly control the I/O pins. This is used to drive test vectors from the ARM chip onto the board to test the rest of the board, is intended for automated test fixtures in production, and is rarely used outside production test.


When in doubt, you want option 1.

SWD is "serial wire debug", which is an alternate debugging method similar to option 1 above, just not using the exact JTAG protocol.

(I had to research this for our SAM3U boards.)