Hi Peter,
Debugging Modules with IAR isn't great - because modules usually have memory protection enabled, the ThreadX plugin can't show the ThreadX objects when stepping into a module. You should still be able to step through the module C/assembly code. For example, see screenshot below. I am able to step through the C code and the disassembly shows what's going on at the assembly level.
Other good debuggers I've used with Modules are ARM DS and Keil. Another problem that I think is common to all these debuggers is that the module data is relocatable and the debugger isn't able to resolve the data addresses at runtime.