The documentation reads:
To create snapshots of a debugged program, select Create Snapshot in the context menu in the Debugger Perspectives view.
This does not seem to be possible because the view disappears as the debugger is running. Instead, you need to click on the "Take Snapshot" icon.
Double-click on entries in the Debugger Perspectives view to switch between snapshots. The debugger views are updated to reflect the state of the program at time of taking the snapshot.
For the same reason, this does not seem to be possible, either. The documentation should give information how to switch snapshots or how to exit from one.
Then, it seems that taking snapshots is not possible with cdb. If this is true, the documentation should mention it.