I was struggling with this again, too!
Turns out the site was loading via HTTP instead of HTTPS (imported the HOME/SITE URLs from a public site on HTTP)
Once I changed from HTTP to HTTPS, Xdebug started working, as documented above.
You can force to HTTPS in your General Settings (HTTP --> HTTPS) or add Nginx/Apache redirect from this other thread.
But then after it did trigger (only after on HTTPS), it also triggered on HTTP… so maybe it was because I added Path Mappings once the prompt triggered when hit via HTTPS