After an exhaustive search, I found the VSAM library missing:
...\SDPShared\plugins\com.ibm.etools.egl.vsam_8.0.0.v20131217_1612\EGLVsamCon.jar
I need to include in Preferences àEGL à Debug à Class path order
After this theVGWebTransaction and Remote VSAM access successfull.
However there are still the answers:
1. Why I need to do it just only to debug VGWebTransaction ? and not need to TextUIProgram ?
2. The document link: http://www-01.ibm.com/support/knowledgecenter/SSMQ79_9.1.1/com.ibm.egl.pg.doc/topics/pegl_core_debug_vsam_vse.html?lang=em
This very confused, begins with the setting of DFM (SNA / APPC) and ends with TCP/IP CTG.
the correct topic would be "Remote VSAM support for z/VSE using TCP/IP" and remove DFM config step.
and leave on the same topic existing today "Remote VSAM support using DFM"
Hsieh