I haven't done much work with ARMs, so I'll take your word for it here. On the chip I've been using recently (a MPC5554 with a PPC core), you choose for each peripheral if they are to stop or continue when you are in debug mode, which is very useful.
As has already been said here, JTAG is not really very useful for application debugging - its for the low-level stuff.
The point of the ZY1000 is that when you are doing JTAG debugging or downloading, it is faster and often easier to connect than most other JTAG tools. But it is not normally much use in application debugging - JTAG is too intrusive for that. The fundamental issue is that a tool that works by starting and stopping the entire processor is not well suited to a system that is doing lots of things at once.
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