Lambdapp inserts #line directives into the source code, compilers are required to respect those directives and utilize them when producing debug sections in the binary. For instance in the case of gcc/clang on *nix the compiler will produce .debug_line sections as part of the DWARF debug format. Debuggers like gdb and even valgrind utilize this information to provide correct output. So to answer your question, a debugger would react to this code exactly how it should react, as if the lambda was called via a function and the file / line should be correct.
I'm more asking as in debugger integration with versioning system (p4, git, etc.) - Say you've got a crashdump, and was able to track it down to some specific source code release - now you should've also saved the intermediate generated files somewhere - but this means that these might have to go back in p4/git/svn/etc. or find alternative place for them... Generating them again won't be the same.
Similar problem is with say Qt's generated moc_Xxx source, Ui_xxx source, etc. files - unless you make the effort of storing these generated files somewhere you might have problems debugger later.
This is in general my "arrgh" against code generation, and "aargh" is not against it - it's simply when you had forgot to keep the files somewhere and the crashdump snaps fingers at you...