The problem is that the normal implementation of a breakpoint/step is replace a single byte with a 0xCC opcode (INT 3), which will be hit by every thread. Making it lock onto a single thread would require a conditional breakpoint, checking the thread ID every time that code path is executed, which might potentially use a lot of CPU. I'm not sure that kind of conditional breakpoint has hardware support.

It's definitely possible to implement, but not as easy as using a regular INT 3 instruction.