I just read the new KB article about this debugging error (http://kb.k2workflow.com/Articles/KB000308.aspx).
But here is my solution which requires no changes to existing code:
Run your workflow, open your code you want to debug. Attach to the K2HostServer (with only managed code), then add the breakpoint.
If the message "breakpoint cannot be set" appears again, detach from the K2HostServer, leave the breakpoint untouched, and re-attach to K2HostServer.
This works for me like a charm.