I got a reply on the Lazarus mailing list that it works better with some versions of gdb than others, ie. MinGW's is better than Cygwin's. Don't know how well FPC's version of gdb rates.

It is a shame that a lot of open source software degenerates into a mess of "you must have version x.y.z of library abc in order to get software blah working correctly. Version x.y.z+/-1 will not work".