Normally debugging connections are implemented over socket streams, so remote-host and remote-port are the results of calling socket-stream-peer-address on the underlying stream.
remote-debugging-connection-peer-address is implemented by calling remote-debugging-stream-peer-address on the stream of the connection, which has a the method specialized on socket-stream that calls socket-stream-peer-address.
If connection does not use a socket stream (for example, if it was created by create-ide-remote-debugging-connection or create-client-remote-debugging-connection with a stream that is not a socket-stream), then remote-host and remote-port will both be
nil unless you define a method on remote-debugging-stream-peer-address for the stream. That will not affect the behavior of the connection otherwise.
LispWorks User Guide and Reference Manual - 20 Sep 2017