When I define a new project, the Start Debugging window shows a JCL file from a previous project I had open, and I have to type my project name and JCL file name into the path name. Why doesn't it point to my JCL file or at least the project at this point?

The last run JCL is usually shown in the Start debugging 'job name' field. In fact all previous JCLs are listed in the drop down menu. In the case of a new job (or any job at all) you do not have to physically type in the pathname.

Do this instead:

Before you click on Debug > Start debugging, highlight the JCL in the project view window (Files tab). Then when you click Debug > Start debugging, the 'job name' field will automatically populate with the pathname of the highlighted JCL.