If there's room on the board you probably don't need a cable -- just a male header will probably work if your USB cable is long enough.
Yes, that's right. I was using a cable to avoid stressing the PICKit3 connector/board. To make good contact you have to press quite hard, for about 6 seconds, or it will indicate an error. Holes for pins would have been easier but I did not want to have thru-holes exposed to the heat sink on board bottom, and it needs to be fast enough for production so soldering pins by hand takes more time.
For mass programming I think some kind of lever with the header pins attached in the correct positioning and board reference guides on each side, would allow quickly sliding a board in pressing down, and pushing a button. I don't know if anyone will take the extra effort to set that up but there are various hand operated press type tools around that could be adapted.
When I make my own PnP machine some day I'll put a programming pin header on it so the parts placement and flashing can be automated in one step.
or some other pogo-pin arrangement...