MPLABX has some issues with jlink. Not all combinations of versions and firmware are compatible. At least on my jlink v9 (original), the latest firmware made it incompatible with mplabx, that was last year's latest FW. I may have had bad luck, I bricked the pickit 3 too, mplabx tried to update the fw on that too, and failed :/.
But yeahm as long as it worked (I used mplabx 3.26 at the time and the original FW on the jlink) it was faster than the pickit 3, no idea how ICD4 fears.