After upgrading from 2014 to 2014 we are now getting this error. The firewall settings for both Client and Server have been set.

SERVER: The following Inbound Rules in the Firewall Advanced Security have been created: SqlServr.exe & Svchost.exe

CLIENT on Windows 7:  Svchost.exe, devenv.exe & ssms.exe

Hi JaimeRodrigo,

Based on my research, the error could be due to several reasons, such as corrupted registry after upgrading SQL Server or permission issues.

To troubleshoot this issue, please check the following steps.
1. Repair your SQL Server instance and check if the debugger works fine.
2. When using the debug option in SQL Server Management Studio (SSMS), make sure that SSMS is running under a Windows account that is a member of the sysadmin fixed server role. And the Database Engine Query Editor window must be connected by a login that is a member of the sysadmin fixed server role.
3. The Database Engine Query Editor window must be connected to an instance of the Database Engine from SQL Server 2005 Service Pack 2 (SP2) or later. You cannot run the debugger when the Query Editor window is connected to an instance that is in single-user mode.
4. Uninstall SSMS and re-install SSMS if the issue still persists after performing the above steps.

There is also a similar thread for your reference.
https://social.msdn.microsoft.com/Forums/sqlserver/en-US/bc1d8e04-723e-4340-9595-c94dced8580a/failed-to-start-debugger-data-is-null-sql-server-2012?forum=sqltools

Thanks,
Lydia Zhang