Since your main EXE is a native program, it is likely that the debugger starts up in unmanaged mode and will therefore not support setting breakpoints on managed code. Project + Properties, Debugging, Debugger Type setting. Change it from the default of Auto to Mixed or Managed Only. Mixed debugging only works in 32-bit mode.
UPDATE: starting with VS2012 you also have to force the debugger to use the legacy managed code debugging engine, the one that still supports C++/CLI. Tools > Options > Debugging > General > "Use managed compatibility mode" setting.