I am still working on the Demo but at least now I can flash my code to rt1060 as following (thanks to Fabian Näf):
https://community.nxp.com/t5/i-MX-RT-Knowledge-Base/Using-J-Link-with-MIMXRT1060-EVKB/ta-p/1452717
Segger J-Link SW tool connects but requires a License. The work around was creating a dummy virtually empty MCUxpressoIDE project and point the executable to be the desired elf file and disable auto build. It flashes my code fine (much faster than LinkServer). Debugger works fine and automatic locates/loads the real source files.
The only drawback is that we need to power the board as the USB power does not work with Segger's firmware installed in the board bootloader.
My conclusion: .axf is not .elf as some forums claims. LinkServer does not load .elf. J-Link does work fine for .elf
Ask LVGL Demo on RT1060