I have a DPoint on my KeyPreview where I capture the F1 key; but when I step through with F8 it open winscontrol.inc and takes off from there.
Ok, in that case you likely did a "STEP OUT".
That is, you stepped to the end of your code (or an "exit;"). And then the next line of code is in the caller, which will be in the LCL (and may be in wincontrol.inc).
In that case, even compiling the LCL without debug info, will not help. If there is no debug info, the debugger would instead open the assembler window.
When you reach the end of a procedure, then any stepping will step out.
If you are at the end of "TForm.Button1Clicked" and you don't want to step out, then all you can do is "run".
It is not possible to "step to the next event". That is, if you don't know what will be called next (maybe Button2, Button3, or maybe PanelResize, or.....) then there is no way to go there => the only way is to set a breakpoint in each of them.