Is there any plan to include this functionality in SF?
Technically it is already there. You just need to have the ability (if you would like) to turn it on within your application at run-time. For example, in the SetDataSources methods of the AppMain.vb or program.cs, you would just look to see if that key is set, and if so, turn on the debugging.
Also does the call to SetDegubOn() should be done per each form, or is this a global setting that can be done once and will affect all forms?
No. This is per data source, the individual BOs, forms, etc. have nothing to do with it. If you turn on debugging it is for a particular data source.