dbx can single-step into a parallel region. Because a parallel region is outlined and called from the OpenMP runtime library, a single step of execution actually involves several layers of runtime library calls that are executed by threads created for this purpose. When you single-step into the parallel region, the first thread that reaches the breakpoint causes the program to stop. This thread might be a slave thread rather than the master thread that initiated the stepping.
For example, refer to the Fortran code inHow Compilers Transform OpenMP Code, and assume that master thread t@1 is at line 10. You single-step into line 12, and slave threads t@2, t@3, and t@4 are created to execute the runtime library calls. Thread t@3 reaches the breakpoint first and causes the program execution to stop. The single step that was initiated by thread t@1 therefore ends on thread t@3. This behavior is different from normal stepping in which you are usually on the same thread after the single step as before.