stmCubeMX disables debug by default
This is not for all you experts out there, but the rest of us should listen up!
When using STM32CubeMx to generate a project by default JTAG and SWD debugging is DISABLED!!!!.
This means that unless you change it you will not be able to debug your application in System Workworkbench for STM32.
In the program STM32CubeMX goto the Peripherals tree and select the sys node. There you will be able to change the debugging options to enable debugging.