SQL Server: Failed to start debugger - Data is Null
I had this exact problem, and solved it, on my local dev machine, by reinstalling a Visual Studio update.

I use 2012 SQL Server and VS 2015.2. This is all Localhost - no remote debugging.

Problem occurred after installing SSMS 2016 RC3. Debugging in SSMS 2016 caused the above error.

SSMS 2014 worked just fine.

The problem went away when I reinstalled (Repaired) the VS2015.2 update.

Each SSMS version has a VS Isolated Shell version it uses. (SSMS 2016 uses VS2015, SSMS 2014 uses VS2012 etc)

It would seem there was some sort of version conflict between the SSMS installation's VS Isolated Shell, and the full VS installation. Maybe the VS update has something to do with it.

Anyway, hope this helps somebody.