Compiled binaries cannot be debugged if they were created on a different machine (more accurrately, if the absolute path is different, which is almost certainly true if built with CI.
This is NOT a Kotlin thing, a KMMBridge thing, or an Xcode-Kotlin plugin thing. This is an lldb thing (I.E. you'd have the same problem with a Swift binary).
Linking the source is to allow debugging:
https://touchlab.co/kmp-teams-use-source