Yes, this is intended. CY8CKIT-049 doesn't have an onboard programmer. It uses UART bootloader in PSoC 4 and a USB-Serial chip to bootload new application images.
You can use this to program another PSoC 4 device by configuring this as a UART-SWD bridge, you can learn how to do so here: Using the CY8CKIT-049 to Program Another PSoC® 4 - KBA93541
This can only be used to program since the above implementation is a modified Host Sourced Serial Programming (HSSP) and debugging is not supported over the interface.
Yes, I am now able to debug using the CY8CKIT-042-BLE Pioneer Baseboard. The problem was that I connected the 042 and expected PSoC Creator to recognize that its environment had changed. It did not! It only recognized the presence of the debugger after exiting Creator and restarting it.
I would suggest to Cypress that a future revision of Creator have a way to tell it to rescan its environment.