This is correct, there are a number of more advanced debugging features which have been left out of the Express products for the sake of reducing complexity. The goal of the Express products is to provide a streamlined experience, with a not-overwhelming selections of menu items and and toolwindows. As part of this, we scaled back much of the advanced breakpoint functionality that is present in the other VS products. This allows the use of breakpoints (and the debugging experience in general) in Express to be much simpler and more approachable for users who are new to Express and the VS products in general.
Thanks,
Luke Hoban
Visual C# IDE Program Manager
This is a great product and I am so appreciative that something this powerful and easy-to-use is given away. But if there was one feature that was annoying me most at this point, it would have to be the fact that you can't disable all breakpoints. It's not a show stopper, but it would definitely help me out greatly.