I saw a couple things that might help.
1) Paul - If you look @ section 8.3.1 in the FRM, they actually recommend a capacitor from MCLR to ground!
I guess its for the Power On Reset function, but it directly contradicts their debugger hardware. I'd say that was their mistake, not yours.
2) Regarding the voltages, It seems there may be a decent possibility that if I plugged it in backwards, I would get the values I'm seeing.
Pin 1 (MCLR) on the target board has a 4.53K pullup to 4.96V
If it's connected to PGC by reversing the plug, there's a 4.7K pulldown to gnd, according to a ICD2 diagram. This would result in a 0.53737mA current and a voltage of 2.52V from MCLR to GND. If their internal resistor were a bit higher, like 6.25K, the numbers could match.
Pin 2 (Vdd) onthe target board is simply 4.96V.
If it's connected to PGD by reversing the plug, there's a 4.7K pulldown to gnd. Since there's no pullup resistor, the voltage would read 4.96V.
Pin3 (GND) would not change, as a reversed connector would pivot around here.
Pin4 (PGD) would read 5V??
Pin5 (PGC) would also read 5V??
Maybe I need some info about the PGD and PGC pins..