Update in 2019:
This is now officially supported in Visual Studio 2019 Preview 2 for .Net Core 3.0 or higher. Of course, you may have to put some thoughts in potential risks of using a Preview version of IDE. I imagine in the near future this will be included in the official Visual Studio.
Fortunately, data breakpoints are no longer a C++ exclusive because they are now available for .NET Core (3.0 or higher) in Visual Studio 2019 Preview 2!