It helps in testing each activity. While debugging if there is an error it will pause. In that particular action you can use step into to check on that action. On left side there will be multiple panes to view the variable values of those activities used in the flow
When you debug the code, then the debug panel opens in the Ribbon Panel of Studio.
The options in the Debug panel do the different functions, As in your screenshot,
Break → when you are debugging do you want to pass the debugging then click on break it will pause the debugging.
Stop → Select the stop option it will stop the execution.
Step into → When you put breakpoint at any activity the bot will wait that activity and if you click on step into it will execute one by one activity.
Step Over → When you click on stepover it will execute all the activities in the sequence then it will pass the execution.
Step out → Exit the Current container after executing its activities and pause at next level.
Retry → If any activity got exception the bot will pause the code if you click on retry the bot will retry the activity which got exception.
Ignore → If any activity got exception the bot will pause the code if you click on Ignore it will ignore the activity with out throwing exception it will ready to execute next activity.
Restart → When you click restart it will restart the execution from first activity.
Check the below link to get to know more about debugging,
If you have added break point at any point of the activity till then the step Into option will be disabled. So whenever the flow reaches the breakpoint your Step Into and other options will be enabled.