Open your solution in Visual Studio. Set the target to “Debug Editor” and you can absolutely hit F5. It’ll hit any breakpoints you set either before Rocket runs or while Rocket is running. You’ll have to hit the “Play In” button in Rocket though.
One little observation: Breakpoints will not be triggered if you set your project to support CLR (general properties). At least in my 4.7.5 UE do not work
If you don’t need that you can just go to your solution configuration and set it to Debug Editor as pointed above. It works