Besides attaching the debugger, is there any other differences between "(local)\Instance" and "MyLocalName\Instance"?
(local) will work with any programs that understand to change (local) or . or localhost into the machine's network location. I would imagine that is the issue with the debugger. But as long as the program you are using (i.e. SSMS) understands that translation, there is no behavior difference to worry about.

I would imagine for most production servers, most connections will not be happening from a local machine as you would have a separate database server for security, availability and performance. So for that reason, it may be better to refer to the server as you will from other machines, but most of the time when working locally I just connect to . or .\instanceName since I hate typing ;-)