I faced this issue recently where I created a C++ metro style app. Some of the functionality I wrote in a C# project compiled to a WinMD file and referenced it in the C++ app.
While debugging in Visual Studio, the debugger never stepped into the C# project code. It turns out that the default setting for the debugger type is set to Native Only.
You can change this very easily though. Go to project Properties –> Debugger tab. There change the debugger type to “Mixed (Managed and Native)” as shown below.