It would have helped if you had described your environment in more detail. Do I get it right that you are connecting to an SQL 2008 R2 instance from a PC running Windows 10, and this is not the machine where SQL Server is running?
The last time I ran the SQL Server debugger was in 2004, so it has been a while. But, yes, the error message seem to be correct. To be able to run the debugger against a remote SQL Server instance, you need to open port 135 in your firewall. Bear in mind that port 135 is not just any port, it is the port for RPC, remote procedure call, so do not open it for everyone, only for the IP address of the SQL Server machine.
You may ask why I have not used the debugger since 2004. The answer is that I gave up. I realised that every time I used it, I spent more time to battle firewalls and other security measures than I gained in productivity. Today, I work only with debug PRINT and SELECT and that works very well. The debugger is also limited, since you cannot inspect temp tables and the like.