If you try to step into a procedure that has not been compiled for debugging and error message is displayed and the procedure has to be compiled before step into can be selected.
Instead, could it ask to compile the procedure for debugging and then step into it? Similar to how you are asked if you would like to deploy the engine the first time you attempt to compile a procedure for debugging.
I only use MyDeveloper for the debugger at the moment. I edit my stored procedure outside of the editor (I like vi) and install them from .sql scripts from a mysql client. As such, I have to refresh the procedure list and then compile for debugging each time I make a change.
Also, a bug report, you should check to see if the procedure has changed between the last refresh of the schema and the current time. If you change the procedure and don't refresh, when you compile for debugging the OLD version will be compiled, overwriting the new changes.
Fixing both of these problems would solve two of my biggest pet peeves with an otherwise outstanding product.