Remote debugging does not work for managed code if you set the project properties to start a remote application via a network drive (for example, remote debug machine = \\nwb-csdserv). This will trigger Code Access Security exceptions in the COBOL run time.
You can instead use Debug/Attach to process and select the machine name in the dialog box. This allows you to attach to an already running process on the remote machine. Obviously, the process needs to be running either in a loop or by manually adding a CBL_DEBUGBREAK in order to allow time to attach before the program terminates.