Hi,
That is correct - to TEST the Vpp you do not connect anything to the Pickit2 output socket.
Collin55 comment refers only to when you are trying to program a pic chip and so not relevant to your tests.
As I said yesterday, you Minikit2 appears faulty - you need to contact your supplier for a replacement.
As I also mentioned do you have any other chip that you can prove your development board is working ok ? - just in case it is actually a fault on the dev board that has damaged the programmer.
You could just measure the resistance between the dev boards icsp socket pin 1 and pin 3 - would expect to see at least 10k or greater.
Do not connect the mini kit2 or power to the board while testing and do not put any chip in the zif sockets.
If that returns over 10k fine, then insert the 16F chip into the zif socket and repeat the test, if this is again over 10k then it seems likely both the dev board and chip are ok.