Note that you can only set breakpoints in PL/SQL code that is compiled in the Oracle database. You cannot set a breakpoint in the anonymous PL/SQL Block of the Test Window. This is an Oracle Server limitation.
If you need to debug an anonymous PL/SQL Block with breakpoints, then as a workaround you can create a simple "debug" stored procedure that can act as a placeholder and create a standard test script to run it. This way you can make the process a little bit more efficient.