SAS Studio now offers the DATA step debugger. It's part of the SAS Viya versions of SAS Studio, which includes SAS Studio 5.2, and then all versions of SAS Viya 2020.1 and later. You can start the Debugger by clicking Debug on the toolbar in the program window, then click the "bug" icon in the margin area. Here are screenshots:
For earlier versions of SAS Studio, you may want to try KurtBremser's recommendation from this post https://communities.sas.com/t5/SAS-Analytics-U/Debug-option-in-Data-Step-does-not-work/td-p/197405
As you know, you can also use the DATA step debugger in SAS Enterprise Guide. Here are a few more resources that may interest you as well on this topic:
https://blogs.sas.com/content/sasdummy/2016/11/30/data-step-debugger-sas-eg/
SAS Enterprise Guide documentation
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