Hi Stefano:
Sorry for the delay. I confirmed what you mentioned and my comment in your other thread, the debugger loses connection when entering any of the low leakage modes, but you can set a wake up source (e.g, an external pin) and indicate the debugger to reconnect. This is made from the connection settings. Just go to Run -> Debug Configurations -> (Select your connection here) -> Edit -> Advanced. In here select the option "Try to reconnect".

Also, as an extra hint, if you step over the WFI instruction, the low power mode will not be triggered.
Hope this is still useful.
Regards!
Jorge Gonzalez