Well it looks like the image itself is capable of supporting the debug, but the SDK cannot.
If I build with the SDK provided by logic instead of my own, I can connect and debug my application, once I bypass all of the warnings.

Is there any good explaination on how to make an SDK that is functional?

Hello rdubrawski,

Logic has made an SDK that will work around the issue you're experiencing. It's available from http://downloads.logicpd.com/eps/products/. Login to the LH7A400-10 downloads area and select the 'WinCE BSP' link.

Best Regards,
Andrew Wawra
Logic Product Development

I have been using the Logic SDK, but would prefer to use one specific to my platform if possible. I have followed the directions on the MSDN site and still get the same problem. Do you have any idea why this would not allow debugging?

For anyone reading this thread, I want to include the final information the I have.
The eVC4 tools will not work in debug with an ARMV4I based build. You can build the binaries, and load them to run, but cannot debug with them.
To debug you will need the binaries built against and ARMV4 target.
The SDK provided by Logic allows you to build for ARMV4. The BSP provided by Logic only supports ARMV4I, thus the SDK that can be exported from Platform Builder will only support ARMV4I.
Using the ARMV4 builds results in some warnings during the download but works fine.
For our development we have been using our custom SDK to build against an emulator to allow our customer to interact with our applications during development. We compile for the ARMV4 from within eVC++ during most of our development as it affords a more robust debugging environment than that provided within Platform Builder. Our final build of the applications is then from within Platform Builder where we build the NK.bin image for shipping.