I guess I will have to purchase one to play with it, but now they have those PRoC blue tooth ones and have the programmer but $50 for the mouse/programmer, I'm still undecided.
But That document states that SWD is an ARM standard and is therefore fully compliant, so maybe your programmer doesn't support SWD?
Page 9 of the previously linked document:
The SWD interface uses the Serial Wire Debug protocol developed by ARM. The CY8C42xx silicon integrates the standard Cortex M0 DAP block provided by ARM. Therefore, it complies with the ARM specification, ARM Debug Interface v5. Architecture Specification. The JTAG interface is not supported by the CY8C42xx silicon.