This message is actually just a warning. It indicates that the Debugger preference 'Add debug information when compiling' (Tools > Preferences > Debugger tab page) cannot be applied, because it requires the 'alter session' privilege. You can either obtain this system privilege, or disable the preference.
When program units are not compiled 'with debug information', you cannot view or set variable values during debugging. When the 'Add debug information when compiling' preference is set, this is performed automatically. In this situation you need to explicitly add the debug information by right-clicking on an object and selecting 'Add debug information' from the popup menu.