Random remote troubleshooting idea's..
Don't use the debugger mode to program the PIC. There shuold be a compile+program button instead. In my experience debug builds have some flags set in the background so the PIC doesn't self-start (I suspect so that the debugger can "catch" the PIC's breakpoints in time e.g. before entering main)
Have you tried manually pulling MCLR to GND after power up? If the program magically works, that could indicate some power-on specific issue. If it still doesn't work, that indicates something is not set up properly (such as loading programs under debug mode)
What kind of capacitor are you using for Vcap? Datasheet asks for ESR <1Ohm, ceramic or tantal. I presume you checked all VDD/GND pairs are connected and decoupled. What voltage is on Vcap to GND? Typ should be 1.8V
Do you have a scope? What do you measure on OSC2? It should output the FRC clock with current fuse settings.
Very unlikely: try setting PLLKEN to OFF (in the odd chance that makes a difference, it shouldn't though).