Well, we got a big project and I can not describe the exact steps we did during the project creation. But if I create a new project the feature is working as expected. Looks like something else in our project is suppressing it.
Thanks for your reply! I updated to VisualGDB 5.4R11 but its still not working. Do I have to do something else? The option under Tools->Options->Text Editor->Settings “Enable mouse click to perform Go to Definition” is on.