This question was raised in the webinar "Enhance your product with industry-leading processors - for no upfront license fee.”
Cortex-M0 Eval includes debug support on the Cortex-M prototyping board (but in the Simulation RTL as this is not needed in simulation). Cortex-M3 Eval includes debug in the RTL, with inclusion of the Embedded Trace Macrocell (ETM) for instruction trace.
The DesignStart Pro versions include the fully configurable processor RTL, which includes a full CoreSight debug subsystem optimized for a single processor instance (excluding the ETM).
For anything more complex than a simple single-processor system, we would recommend the CoreSight SoC-400 tool and components to build the debug and trace subsystem. CoreSight SoC-400 is separately licensable.