The feature actually works, but it is hidden.
Instead of an OS notification informing you that the device is waiting for you to attach a debugger, there is an ADB log that reads:
"[Wait for debugger to attach] Also use Volume Up or Down button to confirm..."
So when you receive that log, you can attach you managed debugger as usual. When it is attached, use any of the Volume buttons on the device to have the app start.