To bust some myths:
1) There are implementations of COBOL with excellent debugging capabilities. Micro Focus Animator allowed you to examine and change variables, alter program flow, and see program structure twenty years ago.
2) There are at least two implementations of COBOL on .NET - from Micro Focus and Fujitsu. Micro Focus COBOL is properly integrated into Visual Studio, and provides proper support for Winforms and WPF.
The reason COBOL has survived 50 years is it hasn't stood still, and that it carries out the grunt work of transaction processing that makes the world run (pays our wages, puts bread on supermarket shelves... etc). It has (and continues) to move to new platforms all the time. If you want to write a piece of cross-platform code that works the same everywhere from Windows, through about fifty flavours of *nix and also on mainframes, write it in COBOL. And if you want it to carry on working as applications migrate into the cloud, still write it in COBOL.