3.1.2 Target is Powered by the Debugger
When providing power to the target device, ensure that the target is not exposed to voltages higher than the device VDD rating. Absolute maximum ratings for the device VDD must not be exceeded. Exposure to the maximum rating conditions for any length of time may affect device reliability. Functional operation of the device at conditions above the parameters indicated in the device data sheets specification is not recommended. See the device data sheet for required device voltage levels and maximum ratings.
Not all devices have the AVDD and AVSS lines, but if they are present on the target device, all must be connected to the appropriate levels in order for the debugger to operate. They cannot be left floating.
Also, devices with a VCAP line (PIC18FXXJ for example) should be connected to the appropriate capacitor or level.