mikroProg for PIC programmer comes with mikroICD support.
Could you please explain how you connected the mikroProg with your MCU?
If you have a custom board, please attach the snippet of your schematic showing the mikroProg-MCU connections.
How are you powering your board, are you using an external power source?
You can power the device from mikroProg directly.
In compiler click on Tools>MikroProg Power Options to enable powering the device from mikroProg while debugging.
Also, MCLR pin in Configuration Bits ("Edit Project") needs to be enabled for the debug to work fine.
As for the scheme, you can't load a scheme for another MCU for your PIC. It has to be a PIC18F14K22 scheme. You would have to set those fields by hand.
You can find everything you need in order to set things up correctly in the datasheet on the manufacturers official site:http://www.microchip.com/wwwproducts/en/PIC18F14K22