Microcontroller with and without debugging features?
Could the latter be made cheaper because of the omitted functionality?


This is the key, and the answer is "no". Firstly, the debugger is an integral part of the design as, by definition, it must have access to every part of the processor. If you decide to remove it, your processor is intrinsically different and so needs to be re-verified, which is a significant cost. Secondly, if you had a version with/without debug you would need different masks for manufacture, which is an enormous cost especially with low nanometre technologies. You would amortise that cost over the "non-debug" version, but you would likely only produce a few 10000s of the "debug" version, so you could be looking at $100 a piece (just in mask cost!). Finally, a large portion of a processor's area is actually memory anyway, so the saving in silicon area would be relatively small.