If you are using a firewall on the Windows, try turning that off. Many Windows firewalls are application aware and might be blocking either the debug listener, PhpED and/or port 7869.
The PhpED installer does normally create suitable rules for the Microsoft firewall, but not for third-party firewalls.
Does a phpinfo() show the NuSphere DBG module as being loaded?
Are you allowing port 7869 to communicate in the CentOS firewall (often that would be iptables)?
The iptables firewall config can vary, but this should work with the default config;
-A RH-Firewall-1-INPUT -p tcp -m tcp --dport 7869 -j ACCEPT
-A OUTPUT -p tcp -m tcp --sport 7869 -j ACCEPT |