It sounds like you stopped scrolling the docs too early. Right after the zdebug setup steps there is Confirm correct server configuration: section then the Invoking the PHP Remote Debugger section.
Summary is that you’ll open a browser, go to your running website with
?XDEBUG_SESSION_START=1 appended to the URL which, if you’re configured properly, should trigger a dialog to open in Komodo asking you if you want to start a debug session.
The prefs screen you’re looking at is for “local” debugging, as in started within Komodo, run in Komodo. You’re trying to do “remote” debugging, started by a server that contacts Komodo to handle the debug session.