That's really weird!
I dug a bit and that feature was, in fact, first introduced in the HP-25:
http://www.hpl.hp.com/hpjournal/pdfs/Is ... 975-11.pdf (page 5)One innovative feature of the HP-25 is the behavior of the SST (Single Step) key in run mode. This key was designed to help the user debug programs. It allows the user to execute his program one key phrase at a time. When the SST key is held down, the display shows the line number and the key phrase that is to be executed next. Releasing the SST key executes just that key phrase, and the numerical results appear in the display. This new feature makes debugging programs quite easy because the user can tiptoe through his programs, seeing both the key phrases and their results, one phrase at a time. The display when the SST key is held down includes the step number, so checking program flow and branching is easy.