I think you may not be doing anything wrong, because I have experienced exactly the same behaviour.
However, in order to debug your VBA, I suggest that you create a macro (via the Tools|Macro|Macros menu) that calls your script function with a test e-mail item that you create in the macro.
Maybe something like this:
Sub TestScript()
Dim testMail As MailItem
Set testMail = Application.CreateItem(olMailItem)
testMail.Subject = "Test subject"
testMail.Body = "Test body"
Project1.ThisOutlookSession.YourScriptForDebugging testMail
End Sub
This way you can "Step Into" the macro via that Macro dialog again, and do all the debugging you need. It solved my problem, anyway.
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