Hello,
I think that this kind of message happens when the debugger wants to do too much, goes out of its debugging perimeter: under Linux, the debugger can get this information from an ELF library *. so, written with c files, called from a Pascal routine (for example, from a GUI routine that asks a control to update, repaint itself ==> it will then ask if it should also debug the GTK API; or from a TDataset.post call ==> it will then ask if it should also debug the sqlite3.x.y.z.so driver; etc).
It does so, because GDB is originally a debugger written for the C language. So, when this kind of message appears, it simply means that we have made a deep step by step "F7" too far, when debugging. That's all.
So, to the question "Do you want to locate it yourself?", you must answer no, because anyway, even if we answer yes, what it asks is impossible (that is, even with the c file location, The GDB debugger adapted to Object Pascal can no more debug, display information from c files; in Lazarus, we can only debug *.lpr, *.pas, *.pp, *.inc).
Regards.