When debugging a function in a PL/SQL package against a local DB on 4.0.2, I can see the debugging toolbar in two locations...
1. In the Debugging-Log tab
2. Appended to the right side in SQL Developer's main toolbar.
Sometimes we see issues with migrating user settings when installing a new SQL Developer release. You might try Window > Reset Windows To Factory Settings. Otherwise, you may have to resorted to nuking the user settings in system22.214.171.124.21 (first, export your connections, then exit/restart the product) before trying to debug again, possibly without migrating settings.
Hope this helps,
SQL Developer Team