Is it a cost/licensing issue or something else?
I just had a look at one of the few official Arduino boards that does have debugger support only to find out that it has been discontinued and there is no indication as to what replaced it (if anything).
Atmel never documented the AVR debugging interface…
It would also significantly increase the cost.
The Zero has the onboard EDBG debugger and is not retired but it is currently only available in the Europe/Africa version of the Arduino Store. If you live outside that geographic area, you could likely find Zeros for sale from one of Arduino's distributors.
I don't see any mention of an onboard debugger on any of Arduino's new boards. The new MKR form factor is much smaller so it might be be difficult to fit a debugger. Then there's the consideration of how many Arduino users would actually use the thing, considering the Arduino IDE doesn't have any support for hardware debugging. You also have to consider that they are hoping people will incorporate these boards permanently into their finished projects. So spending more for an onboard debugger might not be attractive to the average Arduino user.
I would be more interested in having a single dedicated debugger that I can use on all my boards. On the AVR boards with DebugWire, I believe the auto-reset circuitry interferes and you need to cut the Reset-EN jumper so that's a bit inconvenient if you still want to do standard uploads via the bootloader.
Hmm. It looks like a lot of the M0-based boards have pads for an external SWD debugger. That would be about the standard "support" for debuggers in this general class of board.
The 32u4-based boards (native USB, no "auto-reset" circuitry on the RESET pin) can probably be debugged with an extrernal DebugWire debugger (that's the undocumented protocol.)
An Arduino MEGA and some of the third-party 1284-based boards can be debugged with JTAG (for example, there is this adaptor)