With the source debugger, you can explicitly set breakpoints in the Source, AssemblerCallstack or Breakpoints window, or by selecting Debug > Create Breakpoint from the menu bar.
Additionally, the source debugger can set implicit breakpoints for other functions. For example, the step out function traverses the call stack, sets a breakpoint in the containing function and runs the target until it hits that breakpoint. After that, the breakpoint is removed. Note that, even though you did not set these kind of breakpoints explicitly, any debugger settings and restrictions on usage of breakpoints still apply to them.