It is necessary to connect a special piece of hardware between the PC and the board in order to use Arduino IDE's sketch debugger feature with the GIGA R1 WiFi board. The general term for this piece of hardware is "debug probe".
It is not possible to use the sketch debugger feature if you don't own a debug probe.
If you do wish to use the sketch debugger with the GIGA R1 WiFi, there are a couple of things you should be aware of:
The first is that the debugger is an advanced feature. It can be very useful for troubleshooting problems with your sketch program in some cases, but it can also sometimes be challenging to correctly interpret the results.
The second is that there are some limitations in regards to the debugger's utility for troubleshooting. The GIGA R1 WiFi is especially problematic as a target for the debugger due to the board's Arduino core being based on the Mbed OS operating system. For the sake of efficiency, the operating system is precompiled. This means that you won't be able to step further into the source code if you reach an operating system layer in a call stack.
With those caveats in mind, if you still decide you wish to purchase a debug probe for use with the GIGA R1 WiFi, I can recommend the Raspberry Pi Debug Probe:
https://www.raspberrypi.com/products/debug-probe/
Even though it is commonly used with the Raspberry Pi Pico boards, I have verified this also works with the GIGA R1 WiFi.
These are available for purchase from authorized distributors of Raspberry Pi brand products.
Connecting the probe to the board
Unfortunately the Raspberry Pi Debug Probe doesn't have a standard SWD header like you see on the UNO R4 Minima, which makes it a bit inconvenient to make the electrical connections between the two. I recommend getting one of these nice breakouts:
and a cable to make the connection between the header on the breakout and the header on the UNO R4 Minima:
The Raspberry Pi Debug Probe comes with cables that adapt from the JST connector on the probe to female or male "dupont" connectors you can connect to headers you solder to the SWD header breakout.
Configuring Arduino IDE
Select Tools > Programmer > ARM CMSIS-DAP compatible from the Arduino IDE menus to configure the debugger for use with the Raspberry Pi Debug Probe.
Note that currently you must use the "Arduino Mbed OS Giga Boards" platform. The alternative "Arduino Zephyr Boards (BETA)" platform does not currently provide debugger support for the GIGA R1 WiFi (this will likely be added at some point in the future as the development on that platform progresses).