I figured out my issue: Don’t name a class ApplicationMain and call it under OpenFL.
An example project is now submitted to https://github.com/HaxeFoundation/intellij-haxe/tree/HxcppDebuggingExample/ExampleProjects/HxcppDebugging. It will be merged down to master when it’s been tested and verified by somebody else.
Give it a try and see if you can figure out what is different between your version and mine.
P.S. You have to have the hxcpp haxelib installed and built using the instructions in the hxcpp library root directory.