This problem comes from a strange quirk within Office/Windows.
After developing the same piece of VBA code and running it hundreds of times (literally) over the last couple days I ran into this problem just now. The only thing that has been different is that just prior to experiencing this perplexing problem I accidentally ended the execution of the VBA code with an unorthodox method.
I cleaned out all temp files, rebooted, etc... When I ran the code again after all of this I still got the issue - before I entered the first loop. It makes sense that "press "Debug" button in the popup, then press twice [Ctrl+Break] and after this can continue without stops" because something in the combination of Office/Windows has not released the execution. It is stuck.
The redundant Ctrl+Break action probably resolves the lingering execution.