Hi Alvin,
I did quick test on my board using Lauterbach and PE Multilink Universal FX.
I used signal NEXUS_MSEO0_B (GPIO 89) which is easily accessible on Nexus P1 connector on EVB.
I'm toggling this pin in endless loop in my project.
In Lauterbach, I simply use 'sys.up', no other configuration is done. I can toggle the GPIO when debugger is connected. Then I used command Nexus.ON (it's OFF by default) and I can't toggle the pin now. Then I used Nexus.OFF and I can toggle the pin again.

When I'm using PE Multilink, I can toggle the pin too. There's no trace option, so there's no configuration I could test.
Notice that NXEN bit in SSCM is something different. It only says, if debug mode is entered or not. If a debugger is connected, it's '1'. If not, it's '0'.
From my point of view, this is expected behavior. Which pins do you use exactly?
Regards,
Lukas