Hi,
The MMD example published by the Nordic Team (https://github.com/NordicPlayground/j-link-monitoring-mode-debugging) is supposed to work with the nRF52DK (PCA10040). In the meantime, Segger states that J-link BASE and on-board J-Links (the one on the DK) cannot be used for MMD (see FAQ here https://www.segger.com/products/debug-probes/j-link/technology/monitor-mode-debugging/). So did you use an external J-link such as PLUS, PRO, ULTRA to make it work?
Thanks