First, thank you very much for replying! I got the error reliably. I am now re-installing it. I had a virgin win10 I7 laptop laying around, installed it there and got different errors, first it did not have a Arduino config, solved that by switching ports on the Zero back and forth, then it could not find cmsis-dap; that went away after a few USB port swaps and I could get to work. Great! I hope it is consistent, dev goes quicker with a debugger. When you do the blink app and you start the debugger the blink should stop...
Re-installed, all seems great, blinking stops but lower right corner: "Failed to launch OpenOCD GDB Server: Timeout." and it shows the cortex_handlers screen with line 141 highlighted.
Hey, run does not work, it should stop on the line 33 breakpoint but does not. But it steps! Good enough for the moment!