Try with this debugger configuration:
Here, the debugger is interpreting everything. Also make sure to set your breakpoints before starting a debugging session – applying them while debugging can sometimes fail.
If none of that works, set ENV["JULIA_DEBUG"] = "DebugAdapter,DebugEngines" and try again – if you can paste the output into a gist and post a MWE, I can take a look at what’s going on.