Maybe it is a higher level of looping and certainly looks pleasing. However when it comes to using a debugger I have not found a way to avoid a higher level of effort.
What you say is true on the JVM. However, it is important to note that this does not need to be that way. One could imagine having the higher level loops and still debug them.
Of course, if you're writing actual code, now -- what I'm saying doesn't help you much. But if you're looking at a new language, it might be important to remember: not "filter" is broken that way, it's just the implementation on the JVM.
IntelliJ's debugger has decent support for working with functional code. Also the IDE can convert between map/filter/fold type functional pipelines and imperative loops automatically.
Of course, if you're writing actual code, now -- what I'm saying doesn't help you much. But if you're looking at a new language, it might be important to remember: not "filter" is broken that way, it's just the implementation on the JVM.