I do not think that the documentation is outdated (see documentation here for elaborate steps: https://world.mendix.com/display/public/howto6/Debugging+Java+Actions Did you manage to import your Mendix project in Eclipse? If not please give some more info about the problem you have. The screenshot is not helpfull in that respect.
The first time you try to debug a project in Eclipse, the Run Configuration hasn't been set up yet. Try this:
At this point, the debug "start" button should work, and you should be all set!
I reinstalled Eclipse with .exe installer and the problem is gone away. Not sure whether it is related to the Eclipse version. Previously I was using the Eclipse from a unzipped package.