A design change in the Silverlight 4 installer now causes older developer runtime to be upgraded when a newer client runtime installer is executed.  This causes the Silverlight debugging components to be uninstalled, and breaks the debugging experience:

sl_managed_debugging_components

The workaround for this is to install the latest Silverlight developer runtime, which you can find at http://go.microsoft.com/fwlink/?LinkID=188039

Sorry for the inconvenience; we’ll review this design decision for SL 5 and determine how to improve the experience.