"Can't enter break mode at this time" error

Can someone please tell me why I get a "Can't enter break mode at this time" message when stepping through the following code (using the F8 key) at the 'With NewButton' line?

(This is code from a Walkenbach book, and it runs fine if I don't step through it. I'm using Excel 2007 btw) Thanks!

Sub AddButtonAndCode()
    Dim NewSheet As Worksheet
    Dim NewButton As OLEObject
    Dim Code As String
    Dim NextLine As Long
    Dim x
    
'   Make sure access to the VBProject is allowed
    On Error Resume Next
    Set x = ActiveWorkbook.VBProject
    If Err <> 0 Then
        MsgBox "Your security settings do not allow this macro to run.", vbCritical
        On Error GoTo 0
        Exit Sub
    End If

'   Add the sheet
    Set NewSheet = Sheets.Add
    
'   Add a CommandButton
    Set NewButton = NewSheet.OLEObjects.Add _
      ("Forms.CommandButton.1")
    With NewButton
        .Left = 4
        .Top = 4
        .Width = 100
        .Height = 24
        .Object.Caption = "Return to Sheet1"
    End With

I can't tell you the reason, but there is some code that you can't step through. Another is when you modify code programmatically in the VBE. If it works fine, carry on.

Hello jp001,

When OLE objects are created, they are created outside the Excel process using the OLE server. VBA must yield until the object has been created and included in Excel. Once this happens, the OLE server returns back to the VBA process. VBA can only enter break mode while the Excel process is active.