Carsten,
It sounds like there is a source association problem. Normally you can set breakpoints ok in the Edit View and then when the debugger launches it will then associate them with a debug context (i.e. really set them).
If this is the problem then it would definitely cause issues with the active project selection as well. If I have main.c which is part of my project open and I click on the tab for hello.c which is not part of that project then I will lose the active project selection.
Just to confirm it is a source association issue could you try the following:
Open a source file
add a while(1) loop to your app.
Leave the source file open
Build and launch the debugger.
Run and then halt the application.
Did CCS open up another copy of the source file that had the loop in it?
John