Hello Kwok,
Nios II comes with a license for only 2 data breakpoints and 2 instruction breakpoints. Did you try to set more than that? Also, to enable this feature, you need to select a Nios II cpu which supports these breakpoints in SOPC Builder by selecting at least a debug level 2 or greater under the JTAG Debug Module tab of the Nios II cpu module (double-click cpu module in SOPC Builder to access). Then you must regenerate in SOPC Builder, recompile in Quartus, and program the resulting .sof file into flash. You can contact FS2 for license issues or to purchase licenses for additional breakpoints or a deeper trace buffer.
Best regards,
Stephen