It sounds like it is not loading the .idy files or that the programs are not compiled for debug.
Can you tell me what is in the directives field under Build Settings on the COBOL tab?
Also, you mentioned that you could debug DiagExample OK. Where is that located in the Samples Browser?
I think that this would be easily solved if I could see your project.
Can you possibly create a support incident and zip up your solution folders and attach it? Reference my name in the description so that it is directed to me.