A few people have noticed that the ADMHost sample is not set up to do mixed mode debugging by default. If you're working with this sample and you'd like to debug through both halves of the host, you'll need to enable this mode.
That should enable a better debugging experience on the sample code.
Incidentally, Gregg explains why Auto won't work in this case here. Since the ADMHost.exe is native, the Visual Studio debugger doesn't know that it will have to do managed debugging when it gets to the ManagedHost.dll library and so it chooses native debugging instead -- causing any breakpoints set in the managed side to be ignored.