PEX debugging works now. So I can talk to my (relatively) old friend again
I just must connect the SWD connector to Segger in the other way round it was before (when I used on-board SWD socket). I just did not dare to try it before, because I was afraid of causing a damage. I was just expecting that it should be the same way as before (probably it depended which end I happened to cut from the SWD cable for making my own cable).
Another HW lesson for a SW guy
Below is the custom SWD-to-PEX cable I have made.