To debug Silverlight apps, you need to download a separate debug pack on top of VS Orcas and the Silverlight runtime. A disadvantage is that this introduces yet another versioning boundary, and another thing to install for silverlight developement.
The previous .NET releases (1.0, 1.1, 2.0) did not have a "debug pack" that was separate from both the runtime install and the Visual Studio install. This was viable for Whidbey (.Net 2.0) because:
You could imagine that in .Net 2.0, there was a debug pack, but it just shipped with VS2005.
As of the Orcas Beta 2 install, the default directory for the components are: