Yes these include files are part of the project and both the compiler and the linker include debugging information.
But still in debug mode, the debugger don't want to step into functions defined in the included files.
Ok... lets double check...
On your main menu click Project -> Project Options
On the Compiler tab select Debug Information = Full
On the Linker tab select Debug Information = Code View & Coff (for x86) or Code View (for x64)
Close the dialog with the OK button.
Now select Project -> Rebuild <project name>
You should now be able to run your entire project in the debugger. It should step into your project's files but it will not step into library calls; such as functions from stdio.h or stdlib.h ...
If this still doesn't work, use Project -> Zip Files, and upload the zipped project here... so we can see the problem for ourselves.