DevTools is only in available in the 20.lts.1+ and newer branches of Cobalt. Also, you need to build with V8 rather than MozJs for full support, otherwise only the Console and some some basic functionality of Elements will work. The documentation has more information, including notes about these requirements.
Cobalt 19 and some other earlier versions of Cobalt had an integration of DevTools as a remnant from before Cobalt used V8 or even MozJs, but it's terribly broken.
Don't worry about all the Command not implemented
lines that show up in the Cobalt log. The DevTools frontend is the same as used in Chrome (with some things turned off that Cobalt's backend doesn't support). It tries to do a lot as if it's talking to Chrome, and some things just aren't implemented in Cobalt. That's harmless as the frontend gracefully degrades, but the backend does log those unsupported commands that it receives from the frontend.
If you see Unknown command
in the log instead, then you're running Cobalt 19, where DevTools doesn't really work anyway.