Acho que este artigo atende a sua necessidade ... ele afirma claramente se você o executa localmente na mesma caixa, sem necessidade de mexer no firewall.
There are no configuration requirements to run the Transact-SQL debugger when SQL Server Management Studio is running on the same computer as the instance of the SQL Server Database Engine. However, to run the Transact-SQL debugger when SQL Server Management Studio is running on a different computer from the instance of the Database Engine, you must enable program and port exceptions on both computers.