This seems like standard behavior ... Remember that behind the scenes you have a dll framework (ntdll.dll / windowsbase.dll / presentationframework.dll, etc.) that do their magic (listening to messages from pumps, working with the OS and other) ...
Therefore, most of the time when you are "Break All", you have very good chances to get into one of them.
You can open the window Call Stackand see where you are (you may need to right-click and " Show External Code") ... and sometimes you can also see your calls to specific methods there ...
Putting breakpoints in your code and stopping at them is usually the right stopping method in methods specific to your particular application.
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