You usually shouldn’t have to set PGI_JAVA at all, but it doesn’t look like that is the problem you are running into. Java is starting up, because you are getting a Java exception. It’s not finding the first Java class that is run when the debugger starts up.
Are you setting any other Java-related environment variables (CLASSPATH, JAVA_HOME, JAVA_TOOL_OPTIONS, …)?
Is your PGI installation complete - does /opt/pgi/osx86-64/13.4/bin/jpgdbg.jar exist?