While this cannot be done with JclDebug, and doing this manually can be a lot of work, you may find that any logging tool, including Log4D or CodeSite, or even outputdebugString, can do this at a lower cost. In fact, this will embed code to record parameter calls, anywhere you choose to insert such logging. It can also insert a special marker when an exception occurs, which allows you to restore the exact scenario that will lead to your failure.
But since CodeSite does not do this only when an exception occurs (how would it be?), This is not exactly what you wanted. However, I find that a reasonable trace log in combination with the jcl stack trace (or made an exception or eurekalog) is more than enough, and that if I really need to know all the parameter values โโinvolved in the call, I have to go back and add more trace messages.
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