Not everything that GDB does works completely in the uCR environment. Some things have just not yet been implemented, but more likely the feature doesn't make sense in the context of uCR, or uCR doesn't have the capabilities needed to support the feature. uCR is intended to be a lightweight environment that is easy to understand and port. Some more advanced features would simply require more of uCR then we can otherwise justify.
Also, keep in mind that the GDB proxy exists as a thread along with all the other threads of the application. If the program has some nasty bug that destroys data structures required by the thread support or GDB directly, the proxy may not work. On the other hand, it is also possible with GDB commands to write memory or set breakpoints that cause the GDB proxy to crash.
You're an adult now, and this is not UNIX. If you want to shoot yourself, here's the gun. Aim carefully.