in the attachment you can find an illustration of the pinout of the J8 header with the SWD signals you need to connect to the ATMEL ICE.
At this link there is described how to connect a SWD target to the ATMEL ICE.
Refer to the connection to the SAM port and pin numbering.
You can use the "50-mil 10-pin mini-squid cable with 10 x 100-mil sockets" if it's included in the ATMEL-ICE kit you have purchased.
It's the one in the top of this image:
You can solder wires directly on the pads, mount a 2x3 100-mils pitch header or use pogopins on a perfboard.
In case you want to build an adaprer I'd like to note you that the pads of the J8 connector are aligned with the GPIOs headers so you can use them for centering the MKRZero SWD connector with the adapter.