There are no immediate plans to incorporate thread aware debug into the Nios II IDE for eCos. However thread aware debug is possible using Redboot and insight (as described in the getting started instructions). If you'd prefer to use a JTAG rather than monitor based approach, then Lauterbach have a comprehensive kernel aware debug solution for eCos on Nios II.
In principle the patch to incorporate the Nios II eCos port into the official eCos repository is still under review by the eCos maintainers. If you'd like further information, it would be best to inquire on the eCos mailing lists.