Although you can't directly debug a COBOL application that is running in Visual COBOL Build Tools for Windows it is a straightforward process to use Visual COBOL to remotely debug an application that is running on Visual COBOL Build Tools for Windows.
See Debugging Using a Remote Machine for detailed information on how to set up remote debugging, how to debug remotely, and how to resolve issues that sometimes occur when using remote debugging. In addition, Tutorial: Debugging COBOL Applications Remotely provides a step-by-step tutorial showing how to use Visual COBOL running on one machine to debug a COBOL application that is running on a second machine.