.NET is open. You can find its source on Github. The .NET platform being open doesn't mean everything targeting the .NET platform is open, too.
JetBrains needed to write their own debugger for their cross-platform IDE Rider. Luckily they already knew a lot about .NET to do this and it turned out very well but it's still not the official debugger and also not open source.
There is open source debugger from Samsung (https://github.com/Samsung/netcoredbg/), but it does not see much use.
If you want to debug C# from Emacs, it’s the only choice AFAIK.
Java flight recorder, for example, wasn't always open source. While it's not ideal, I'm not sure the idea of closed source tools in an open language is all that unheard of.
Windows isn't open. But you could argue there are open alternatives to Windows.