I got it working;
Before I was using the following in order to display errors but ended in a white screen.
error_reporting(E_ALL);
After a while I decided to use the following and all my errors got displayed as I expected.
ini_set('display_errors', '1');
I have no deep explanation but init_set() Sets the value of the given configuration option. The configuration option will keep this new value during the script's execution, and will be restored at the script's ending. While error_reporting() function does not change the server configuration options but sets the error_reporting directive at runtime
I hope in the next Phalcon release we can improve the debug component such that if you want to display errors not related to the framework you just pass some argument settings when constructing the object.