Add breakpoint in Visual Studio Code
Updated Answer as of December 2020
For those who have trouble in finding the debug.allowBreakpointsEverywhere.
File->Preference->Settings
Then search 'debug.allowBreakpointsEverywhere'. Click the Checkbox then it will automatically save. Cheers!
I also ran into this issue. Make sure you don't have
"editor.glyphMargin": false,
in your user or workspace settings.
Go to VS->Settings->Debug and change "debug.allowBreakpointsEverywhere" to true.