I've run into it before, but it's not usually too serious. It only usually happens on lines with compound expressions or chained calls like this:

  foo.into_iter().map(|x| x+1)
     .filter(|y| y > 2)

My working theory is that it's related to situations where there's multiple statements on the same source line (or inside a block inside a lambda).

Yeah, quite possibly. I feel like I've stepped through some pretty gnarly iterator chains and it's worked surprisingly well. It is rare that I actually need to turn to the debugger, so I could be mistaken.