I tested it, and your scenario works for me (DSO that is fully loaded into cube, choose latest change log request in simulation mode), so maybe there is another reason why the debugger is not starting up?
(btw, i did not use any of the breakpoints you can choose with the checkboxes, i went to the generated program and placed a breakpoint in the 'SE38-way' on the first line of the my start-routine coding...)
