I had the same problem, however in Word (and not Excel) 2010.
I tried various things mentioned by other participants above, for example. closing other programs that could use the F8 key for something, and closing other MS Office 2010 applications that might interfere, but the problem was stubborn there: from a certain point in my VBA code, step-by-step code execution (F8 key) was ignored , and the whole procedure was performed immediately.
Then I did a series of experiments with my code. Thus, I discovered: in my case, the unwanted behavior appeared immediately when I called the external procedure as follows:
Application.Run MacroName:="OneProcedureOfMine"
To get around the problem, I rewrote the code like this:
Call OneProcedureOfMine
which is in any case a more elegant way. And that solved the problem. With subordinate procedures, so called, F8 gently steps through the main procedure and each procedure called inside it.
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