For MicroBlaze, I set 1 Read watchpoint and 0 Write watchpoint in my MHS. Then, I downloaded the bitstream and ran XMD. XMD inferred that there is 1 Write watchpoint and 0 Read watchpoints.
This problem has been fixed in the latest EDK 8.2i Service Pack, available at:
The first service pack containing the fix is EDK 8.2i Service Pack 1.