When installed, CEEEVDBG provides additional functionality to the BPX1PTRA syscall that dbx uses to control the process/program begin debugged. dbx has detected that LE did not load CEEEVDBG during user program initialization.
Report the problem to the MVS™ system programmer. 'SYS1.SAMPLIB(CEEEVDBG)' contains sample HASM source for the CEEEVDBG module that dbx requires.