When Starting a Debug Session, I get an Error Stating that Debug Tool is not Set

The reason for this message is that there is no tool capable to debug that is selected for your project. Go to the Tool project pane and change the to a supported tool (Project Properties > Tool > Select debugger/programmer).

If the tool you have selected does support debug, then check that the correct interface is chosen and that the frequency is according to the specification. If the issue persists, try to lower the frequency to a frequency where programming is stable, and then slowly increase the frequency as long as it keeps stable.