It looks like it has been deprecated in SSMS 18. I have SSMS v 18.4 installed and the icon is missing. Also missing is the Execute with Debugger drop-down menu in the query pane context.
Debug icon present in 2012 and 2017 SSMS. Missing in v18.4 in the 2019 version.
Debug icon present in 2012 and 2017 SSMS. Missing in v18.4 in the 2019 version.
Missing in the Query drop-down menu. It should have been present below 'Execute'.
