When you set Copy to Output Directory to "Always" for a file such as a screenset it tells Visual Studio to copy that file to whatever folder is specified in the project properties COBOL page -->Output Path field.
If you are changing the working directory on the Debug tab to a value other than the one set in Output Path then it will not find the screenset because it is assuming it is in the current directory.
I would advise that you use the same folder for your Output Path and your working directory whenever you require that files within the project are in the current directory.
You could also add a post build step under Build Events on the COBOL tab to do the copy to a different location but this seems like something that shouldn't really be required.
Thanks.