That's a big awkward. You technically can set a breakpoint on that command, but it triggers at the beginning of the pipeline, rather than for each object. It's simpler to stick the call to Remove-Item in a ForEach-Object block, at which point the breakpoint is simple (either by using Set-PSBreakpoint -Command Remove-Item , or by putting Remove-Item on its own line and using Set-PSBreakpoint -Line or the F9 key in the ISE.)
The WhatIf switch is typically available on any command that is making a change, so your Set, Remove, etc. will have the switch, but Get commands are just pulling information for example so they do not.