Wade's answer is correct when using a Windows server directly. For containerized deployments, you need to add an environment variable to your app to enable debugging. See the documentation here (also copied below). Note this also applies for Docker:
Enabling the Mendix Debugger
You can enable the Mendix Debugger by setting a
DEBUGGER_PASSWORD environment variable. This will enable and open up the debugger for the lifetime of this process and is to be used with caution. The debugger is reachable on https://DOMAIN/debugger/. You can follow the second half of this How To to connect with the Mendix Business Modeler. To stop the debugger, unset the environment variable and restart the application.
Thank you Eric and Ramsey. I will go through your suggestions and let you know if anything is needed
For applications running on local servers. You can get the debugger password by opening up the Mendix Service Console. Click on the environment in the left panel. Then Click advanced and then enable debugging. It should then give you the password you need for the debugger.