I see that the PikKit4 debugger uses up a couple I/O pins. I assume any peripheral that shares these pins can't be used. Is this correct? (I never used ICD or JTAG before.)
The two data pins need to be free (from components that alter the programming signals) when the programmer is connected but can be used for their normal functions when not programming. I just use a switch or a set of jumpers to select the data path of the signal from the controller to the programmer or normal I/O functions.
Here the slide switch selects serial port 2 rx/tx lines or the programmer lines (current setting).
The debugger uses the same 2 pins as the in circuit serial programmer. If I really need those pins then I develop on a bigger chip (40 pin) and use the original in the final product. If you want them for something like the LCD data lines then no problem, they will work fine. If you look at diagram 2-7 (page 21) of the PicKit4 manual it shows what not to connect.
The easiest thing would be to designate those pins as LED drive pins (every project ends up with an LED or 10). Connect them in sink fashion (cathode to IO pin, current limit resistor to Vdd). Logic is inverse (0 = LED on/1 = LED off). Then the LEDs will be dual purpose (will indicate device programming data traffic as well as whatever you use them for in your project). They'll act as strong pull ups for the pins which won't load the programmer.
Connect them in sink fashion (cathode to IO pin, current limit resistor to Vdd)....
They'll act as strong pull ups for the pins which won't load the programmer.
That's the wrong thing to do. The pickit has pull-downs on the PGC/PGD data lines (approx 4.7k), so pulling them high will create a voltage divider (see PK4 manual fig 3.7... pull-ups are a no-no)