I'm in the middle of sorting out the opposite problem (as in I can get interrupts working when I flash the board using a BDM interface, but I can't get them working with the dBUG interface.
I downloaded the source code for the monitor (very useful! It's on the coldfire site for every development board there is, if you search around a bit)
The way interupts seem to be handled by dBUG is it sets up a vector table in ROM (vectors.s, starting at address 0) and that position is full of pointers to a function called _asm_isr_handler, defined in mcf5xxx_lo.s, which *does something* to figure out which vector caused it to be called puts it on the stack, then calls isr_execute_handler, which is a C function defined in isr.c. This function then *searches* an array for the vector number, and presumably calls it. I don't understand how my code should go about registering an interrupt though.
Suffice it to say that exceptions are a lot more complicated under dBUG than when you use a bare board. When you're using a bare board, all you have to do is find out where the vector table is (pointed to by the VBR core register) and put a 32 bit pointer to your ISR function in the appropriate place (coldfire manual will tell you the interrupt source, and you add 64 to it to get the vector number, then index off the VBR (*4 and add) and you're set)
If I work out how to do interrupts under dBUG tomorrow (23rd aug) I will post, but if anyone knows how to register interrupts(or even point me to a good dBUG user reference manual), I would be very grateful.