I managed to capture a frame now.
To make it run, I had to enter a path in Debugging->Working Directory too.
As usual, shader source code is not available to debug right off the bat.
I tried compiling the effects file .fx in Debug mode with the pipeline tool. Still, it says "Source not available" when I try to debug the pixel shader.
The guide says to include the line
directly in the shader - is this relevant for MonoGame too?