I worked with Laura to investigate the issue.  We found that the ultimate source of the error was logged in Studio as

Unable to set breakpoint as line not mapped 'myJSMethod+1^MyPackage.MyClass.CLS'
CSP: BREAKPOINTS failed

The debugger was unable to attach to the target so the CSP page wasn't returned to the client.

The reason that the line isn't mapped is that "myJSMethod" is a client method.  Zen pages can define COS methods that run on the server and Javascript methods which run on the client.  The Cache Studio debugger runs on the server and debugs code run by the Cache instance.  Javascript methods can be debugged client-side using browser tools such as Firebug.