Thanks for all the replies, it's indeed an "Arduino IDE" issue according to the one raised in https://github.com/espressif/openocd-esp32/issues/12
I tried an sample code using the "ESP-IDF" and debugging works like a charm :D

OpenOCD:
C:\Espressif\debugging\OpenOCD>cd C:\Espressif\debugging ...

Did someone succeed using OpenOCD via JTAG on the ESP32 WROVER KIT ? Debugging doesn't work for me and i get
"Cannot execute this command without a live selected thread". What does it mean? what should i do ?

Here below a description launching debug session in console on windows 10

Launching ...