The project generated by CubeMX is not complete (I think it will be fixed in the next version), that’s why System Workbench cannot find the OpenOCD script.
I suggest you to go into the project properties :
C/C++ Build > Settings > Target, select the “NUCLEO-L053R8” in the board area then apply.
Try to recreate a debug configuration to download the code.
Hope it will work.