In Visual Studio Debugger for Windows Workflow Foundation you MUST set the workflow DLL project as the Visual Studio solution startup project to debug the workflow using F5
Documented in http://msdn.microsoft.com/en-us/library/bb483186.aspx
It is not intuitive restriction.
I've posted to MS Feedback that it will be good to support workflow Debugging from any startup project.
Recently I've noticed, that if workflow DLL project is a startup project, it doesn't support Edit&Continue in a code dlls. Another thing that MS should improve. It's similar to ASP.Net Web Site limitation of Edit&Continue.
I also not able to open activity from call-stack- see my post Windows Workflow: Concatenate all parents QualifiedNames- instead of call stack