PICkit3 has the very inconvenient ICSP connector! Why did they use the female one, so you have to put another male-male adapter, and possibly shift its contacts!
It is much better to place Nylon 2.54 mm 5-pin male connector instead of it (you can ignore pin 6 if you don't use LVP). It is quite easy, all you need is some soldering skill. You have also to cut the part of plastic body of the connector, as it is too thick to put the PICkit cover (white arrows on the photo). Now you can use the crimped female connectors on ICSP cable, with low possibility of miss connecting and frying MCUs, as there is only one way to plug it.