I'm not sure on what functions you can set breakpoints but it might be that winedbg only works on symbols which are 'visible'. When you compile a wine dll (.dll.so) a .spec file is used for exporting functions so that they can be linked to from programs or dlls. This info might be crucial (not sure). You could also try to set a breakpoint on the address (if you know it) or use gdb in combination with wine (there is some proxy mechanism).
