That is mostly an issue with the "avoid IDE" crowd.

While IDE tooling can still be improved, the parallel debugging tools in .NET and Java eco-systems are already quite good.

On VS, I can have at any given moment a graphical snapshot on how all threads and tasks are interacting with each other, or just execute some of the threads.

It doesn't solve everything, but it makes it easier than a typical gdb session.

.NET has one of the best ecosystem overall, so it's more an exception than a rule (can't comment on Java as I don't work with it). As I'm mostly in low level, embedded system programming, you are still stuck with gdb, Valgrind and other primitive tools there, because if there's some legacy "IDE" at all, it's most often just some half-assed Eclipse plugin.

At least looking to their product sites, Microchip and Green Hills seem to have quite good tooling, then again I don't have embedded experience on modern systems, beyond mobile devices.

Do Microchip even produces multi-core MCU's? Haven't seen one, though I worked mostly with Cortex-A series so might miss something.

As I said, I don't have much experience in real embedded domain outside mobile devices (iOS, Android, UWP), but aren't Cortex-A5 supposed to handle up to 4 cores?

Yes, so it looks like Microchip produces multi-core MCUs after all, though as I've mentioned, I haven't encountered them and can't comment about quality of their tools.