Hi Victor,
I've created an example with MCU V10.5 to check how the behavior is running.
when a bkpt is set and application is launched, the project is stopped when the bkpt is reached.
however the source file of bkpt is not displayed by default.
for my example (Hello example), 2 Threads have been launched.
Under Debug view you will have info about each thread:

Here the BKPT is generated in Thread [ID:0x10002] but it could be in hello.c or task.c.
I don't know if there is a way to display the source file containing the bkpt directly.
I will check with colleague and will keep you informed.
Regards
Pascal