I use VS Code for Java Action development in Mendix.
I installed “Extension Pack for Java” and “Debugger for Java”. This gave me the essential functionality I needed. You do need disable Autobuild in the settings for Java as you want Mendix to do the actual compiling when developing.
This page will give you details on the values to add to the debugger so you can stop and single step through your Java actions. It’s written for Eclipse, but the values are the same.