>How exactly does your debugger know whether the compiled code it stepped into came from C++ or Fortran source?

I don't know what IDE GP might be using, but mixed-language debuggers for native code are pretty simple as long as you just want to step over. Adding support for Fortran to, say, Visual Studio wouldn't be a huge undertaking. The mechanism to detect where to put the cursor when you step into a function is essentially the same as for C and C++. Look at the instruction pointer, search the known functions for an address that matches, and jump to the file and line.