I think I'm good to go now. I really wish Pinscape did a better job documenting this upfront. Though honestly I probably would have gone another way had I seen this before buying. But once I figured out what to do, it wasn't that hard. So I'll try to save other users some of the trouble.
First off, I had a bad cable. I'd looked around the house and found a usb cable with the right connector on it. But when I used that cable, I couldn't access the bootloader on the KL25Z. I looked around the house again and found another cable. FWIW this one had a "lump" (IDK what to call it, it's like a plastic bump near the end of the cable) and that new cable worked. I could access the bootloader mode by holding the reset button and plugging in the KL25Z at the programming port. You have to be able to do this in order to do any of the other steps.
Before buying a KL25Z for Pinscape you should know there's a problem with the KL25Z board and Windows 10. Pinscape and the makers of the KL25Z all recommend fixing the issue by first connecting to a Windows 7 computer. If you don't have a Windows 7 computer (like probably everyone reading this in 2020+) here's what you can do. I'd suggest following these steps BEFORE you connect the KL25Z for the first time.
Follow the directions under "No Windows 7?" here (https://mcuoneclipse...ndows_8_and_10/) to disable removable devices from the library search. If you're using Windows Pro you can do it via the Group Policy editor. But I'm on Windows Home and had to do it via regedit.
In regedit you have to modify a registry value, which is pretty straight forward. But in my case the registry value didn't exist and had to be created. The instructions weren't really clear on this part. The new registry value needs to go in: SOFTWARE\Policies\Microsoft\Windows\Windows Search
In my case, I didn't have a Windows Search folder in my registry and that had to be created too. Then I right clicked inside that registry folder and selected New->Dword (32bit value) I named the value DisableRemoveableDriveIndexing and set the value to 1. I rebooted my machine and was then able to follow Pinscape's directions for updating my KL25Z firmware and setup Pinscape.