When single stepping through X++ code on the client you can bump into code that can only execute on the server. In a default deployment you will not be able to single step through the code. To enable this feature you must turn it on in the ‘Microsoft Dynamics AX Server Configuration Utility’ tool.
If necessary, use the Manage button to Create Configuraton. On the first tab, Application Object Server, make sure that the [x] Enable breakpoints to debug X++ code running on this server check box is checked.
You can also do by a direct registry hack, like so: