The target device does not support all the defined break points when using QSPI as external loader.

[MNapi]

I am trying to test STM32F469I Disco, it has already external loader in Keil ready to use

Everything works fine it connects to the external QSPI when uploading

I do not have any break points defined so why I get this error message and I cannot debug.

[Tesla DeLorean]

Likely needs a debugger script to bring up hardware, or that you have a shim in internal flash, breakpoint before it enters external and step in from there or breakpoint deeper. Or use BKPT instructions to drop into the debugger.

The loader just gets the code into the memory, it's not involved with the Keil debugger. 

Cube might use the STLDR to initialize a memory mapped context.