The table below that shows the compatible tools. You will find that it lists simavr, which is a AVR simulator. Thus one can debug firmwares for that board in a simulator running locally on the computer.
The wording “has on-board debug probe” is indeed… poorly worded, as there is no debug-probe on-board (also it’s not describing a board but just the pure chip).
PlatformIO does not support debugging the real hardware chip, just simulatting it.
Per this doc, it may be possible to use the AVaRICE program with a Atmel ICE debug probe to debug the chip. PlatformIO has however no built-in integration with avarice, but custom configuration commands exists which can make this work in PlatformIO. See for example the successful example of PlatformIO + CLion + avarice + AVR Dragon + ATMega328P here.
Issues for that are open at PIO Unified Debugger for AVR · Issue #95 · platformio/platform-atmelavr · GitHub and Debug probe support for atmel-ice / dragon and atmega328p processor · Issue #53 · platformio/platform-atmelavr · GitHub.