From Ross-Tech Wiki

2.10 What's with the DEBUG files?
VAG-COM uses these to record a lot of the data being exchanged between the car and your PC. Having these can be very useful if there is some sort of unexpected problem communicating with a controller in your car. By default, the Debug Level is set to 0. If you're having a problem, we may ask you to set the Debug level to something other than zero, and to send us a specific Debug file. The best way to send Debug files is to ZIP them first.