When compiling for ejtagproxy, make sure you are allowing writes to OSCCON.
It seems it uses that register to set the CPU frequency. If your code needs to run fast, and you’re using the PLL, it won’t be enabled by ejtagproxy by default. The solution is simple, just use this config pragma:
#pragma config FCKSM = CSECME // Clock Switching and Monitor Selection (Clock Switch Enable, FSCM Enabled)
Now you should be debugging at normal speeds.