You must have a listener configured to connect to the debug region.
Use a terminal session to connect to the debug region and start the process to be debugged.
If the .NET region is not running, you will be prompted to allow Visual Studio to start it on your behalf.
The popup behaviour can be modified in the Micro Focus Enterprise Server option in the Tools/Options dialogs.
The Sign on to CICS login screen appears.
In Visual Studio, the code breaks at the set breakpoint.