You don't have this problem (only one breakpoint) because that CPU supports four hardware breakpoints:
https://community.freescale.com/message/88644#88644
It looks like yout IDE may be wanting to use software breakpoints, which only work in RAM. It may have a different option for setting hardware breakpoints, or it isn't set up to use them or it can't. This is a software problem.
Type "winidea coldfire breakpoints" into Google and start reading things like this which says that software cn even support "software interrupts in FLASH" if you want to let it (by rewriting the flash all the time)::
http://permalink.gmane.org/gmane.comp.hardware.motorola.microcontrollers.coldfire/7475
Tom