How to add the Debug button to SSMS v18?

Debugger is deprecated in SSMS18 as @LowlyDBA said in his answer.

For those who look for an alternative, you can use SQL Server Data Tools (SSDT)/Visual Studio to debug a query.

1. Connect to a SQL server (in Tools menu)
2. Open a new query (Server explorer, right click, new query)
3. Type in your query
4. Execute with Debugger

From the SQL menu

From the Drop down list next to the execute icon in the query window

From the context menu in the query wondow

This feature is deprecated in SSMS 18 and thus no longer available.

Database diagrams were removed in SSMS 18 but have been re-added as of version 18.1