You don't specify the object type in the GoTo so maybe when you're stepping through it's the form (the code window can make the object related to the code the active object) whereas when you just run it, it's the report that's the active object.
EDIT - forgot to mention that this sort of thing is better done with a recordset IMO. Then you don't have to keep hitting an object (the rs would be faster, albeit perhaps not so much that you'll notice), nor do you need to worry about which window/object is active.
The more we hear silence, the more we begin to think about our value in this universe.
Paraphrase of Professor Brian Cox.