Ahh, you are trying to both start a new execution AND step into it. You can use the ApplicationMgr.BreakOnFirstStep property to get step into behavior. How you start the execution depends slightly on what kind of execution you want. Try something like the following
bool savedVal = this.axApplicationMgr.BreakOnFirstStep; // save this application wide setting
this.axApplicationMgr.BreakOnFirstStep = true;
// use one of the following three lines:
// run using first entry point, usually Test UUTs
this.axSequenceFileViewMgr.GetCommand(CommandKinds.CommandKind_ExecutionEntryPoints_Set, 0).Execute(true);
// run using second model entry point, typically Single Pass
this.axSequenceFileViewMgr.GetCommand(CommandKinds.CommandKind_ExecutionEntryPoints_Set, 1).Execute(true);
// run without a model entry point
this.axSequenceFileViewMgr.GetCommand(CommandKinds.CommandKind_RunCurrentSequence, 0).Execute(true);
this.axApplicationMgr.BreakOnFirstStep = savedVal;