The behavior you describe has always been the case with Visual COBOL and has nothing to do with upgrading to 2.3 update 2.
If you are calling an unmanaged program from a managed program then you can debug either the managed side or the unmanaged side but you cannot step from one into the other.
You can debug through the unmanaged code by setting the unmanaged project to be the Startup project and then on the debug tab point to the managed executable as your starting program. When you start debugging it will run through the managed code and stop ion the unmanaged program and you can step through at that point.