I came across this trying to debug the ProductsWorkflow.xamlx in the products sample. When you just jump into debug mode and put some breakpoints in the xamlx, they never get hit so it SEEMS as if the workflow isn't workflowing (see what I did there?)
The problem is actually visible in the debug Output window though
You should see something like "File not found C:\Feodorov\Projects\Sitefinity 4\SDK\Samples\CS\Products\ProductsWorkflow.xamlx".
So if you then open the xamlx by right-clicking, open-with, Xml Editor you can see right at the top (XamlDebuggerXmlReader.FileName) that its trying to look for a version to debug with. In this case it's pointing at a location which won't exist on your machine.
So it's a quick fix, just change that path to wherever you installed the SDK sample (so like (C:\SDK\products\Products\ProductsWorkflow.xamlx)
Then re-build, and try debugging again...we have XAMLX breakpoint debugging!