Hello,
i am not sure but i think if code is executed frmo internal ROM no MOVC commands can be executed for external ROM. As a monitorprogram stores the program to debug in external RAM also MOVC must address external RAM. I don'think i works with KEIL monitor.
Have a look on http://www.pjrc.com/tech/8051/ there paul put his monitorprogram into internal ROM. Maybe you can find an explanation there.