Could you please try to upgrade your ST-Link Firmware version (to V2J25M14) using this http://www.st.com/web/en/catalog/tools/PF260217
And verify if that works.
I have the same behaviour using V2J24M10 but when using the newest version (which is the case for me) the problem disappears
If you are using an USB chager as power source (on CN1), even with the last firmware available on web (V2J25M14), this will not work : The MCU is held under reset.
In this case you can workarround the problem by powerering the board using E5V (external power) pin.
This problem will be fixed in next ST-Link Firmware version.