To build scan application using external JTAG, the make target should contain "JTAG=jlink" in the build string.
Make the target as: snip.scan-CYW943907AEVAL1F-debug JTAG=jlink download run
Please note that the download is using openOCD in WICED SDK.
To debug an application, you need to revert back the driver for jlink from libusbK to Segger. Right click on jlink under libusbK and update driver. Choose "Search automatically for updated driver software". This will install the jlink driver. Jlink will appear as J-link driver under Universal Serial Bus Controllers.
Install JLink on your machine. Follow the instructions: