Can you debug dsPIC33F series with PicKit 2?
It really depends on the device. If you're using Windows MPLAB, select the device and you should get a dialog that indicates whether there is full programming and emulation support for the particular device and development hardware (green lights). You don't need a PICkit 2 on the computer to see this, BTW. For some  combinations you'll get a yellow indicator which highlights some kind of limitation(s).  



As you can see here, the dsPIC33FJ64GP710A is not supported by PICkit 2.