Extremely annoying bug, since R2011a. Breakpoints have their own lives, regardless of user actions. Just doesn't work.
As workaround, sometimes, it helps to modify file (add and remove space) and then saving it again. Otherwise I have to restart Matlab (obviously loosing all breakpoints). Clicking 'Clear all breakpoints in all files' and then setting breakpoints again - does not help for me.
Anyone here from Mathworks to comment?