>Do you have a menu items that use "Skip for"? My understanding is that if you use a UDF in "Skip for", then the "Set Next Statement" option in the debugger is disabled. (No, I don't know why).

Now that you've caught it, it starts making sense :).
Seems to be debugger's menus are somehow connected to the _sysmenu, and that the same Skip For may apply to them in a mysterious way.

Haven't experienced anything similar for quite a long time, because I don't use Skip For - my menus are data-driven, and anything that need not be active in the menu simply doesn't get instantiated at all. It's filtered out during the creation of the menu.