In most of those implementations (certainly in SBCL) it's either you break or step; you can't start stepping from a breakpoint. SBCL got some support for that this year, see https://news.ycombinator.com/item?id=43791709. It, however, doesn't allow stepping into any functions called after the break.

Also, the compilers are allowed to make the code unsteppable in some cases, depending on optimization declaration: generally, debug needs to be >=2 and > speed/compilation-speed/space. In some circumstances, you land in decompiled/macroexpanded code, which is also quite unhelpful.

Anyway, it's not that source-level stepping isn't there at all, it's just quirky and somewhat inconvenient. A fresh implementation that does comparatively little optimization and is byte-code based can probably support debuggers better. I hope such support won't go away later when the native code compiler is implemented.