For 5 of the targets, debugging directly within the Haxe sources is supported with different VSCode debug adapters (well, JS just uses source maps). If your code is written in a target-agnostic way, you can even switch to a different target with better debugging support temporarily.
Other than that, if really you need to debug some target-specific issue on a target without debugging support, there's usually still the option of debugging the generated code.
https://github.com/vshaxe/vshaxe/wiki/Debugging
Other than that, if really you need to debug some target-specific issue on a target without debugging support, there's usually still the option of debugging the generated code.