Hi Twp,
Unfortunately there is no option to disable interrupts when stepping available in CW MCUs v10.5 for e200. This request has been already logged a feature request under the number ENGR00229357.
You can e.g. manually control EE bit in MSR register in the Register View to enable/disable interrupts as a workaround.

If you need the interrupt handlers running on the background while stepping you can use "Run To Line" (Ctrl+R) and manually move line (cursor) at next code line as a workaround
Hope it helps.
Stan