Hi,
Have built Pickit2s but not actually used that pcb.
Your VDD message is correct - the PK2 lite supplies your target chip with the +5v direct - it does not come from the actual 2550 chip, ensure the ' VDD PICKIT2' box at the rh side of the screen is Unchecked for both +5v and Mclr.
Your VPP should be around 11-12v , must suspect you have some error around the 680uh choke area - did you use the correct value for this part ? it is important although I have used 470uh without problems.
Check for any bad joints, pcb shorts or wrong parts / orientation etc
The Pk2 checks for the correct Vpp when it starts up and will not run until its correct.
Your last screen shows a far east font intead of the OK ?? - are you using the latest software for the Chip and PK2 program from the Microchip site ? - it may be an actual bug in their software - ?