https://xdebug.org/docs/step_debug#configure contains the following as second paragraph:
If PHP/Xdebug run on a different machine, virtual host, or in a Docker container, you need to tell Xdebug where to make the debugging connection to, as it is Xdebug that initiates the communication to the IDE, and not the other way around.

In the quoted sentence, the word "communication" is a hyperlink which links to an anchor on the same page, i.e. https://xdebug.org/docs/step_debug#communication
Presumably as a result of an incomplete update, this target no longer exists, so clicking the link has no effect.