Unable to find "Local" window while debugging SSIS package
You're looking in the correct menu for the Locals (Ctrl+Alt+V, L) window. The issue is that this is a context sensitive menu.

With an SSIS project open, I see a similar menus as you under Debug/Windows


However, if I set a breakpoint and launch the debugger, then I'll get the full suite of debugging windows available under the Debug/Windows menu