Alright, you're my kind of developer -- interested in the details. Well, you're right. It is generating C# code for you. The sprite rules go into a file whose filename matches that of the sprite (with a .cs extension, of course), and can be found in the "Sprites" folder where all the project's generated source code is output when you compile (you can't see it in the IDE, but if you use Windows Explorer, you can find a "Sprites" folder among all the other source files in your project's folder after you compile the project, if you don't tell SGDK2 to delete the intermediate files). The code for the actual rules is in a function called "ExecuteRules" at the end of the file.
And the plan rules can be found in the MAPNAME_Map.cs file (a sibling of the Sprites folder) where MAPNAME is the name of the map containing the layer that contains your plan that contains your rules *whew!*. You may find multiple implementations of "ExecuteRules" in each of these files, depending on how many plans and layers you have in your map. That's where the plan rules go (I assume you can work out how to find which ExecuteRules goes with which plan based on the parent class names, but let me know if you need more help there).
To debug it, I suggest getting Visual C# Express 2008 from
Microsoft's site. This is what I'm actually using to develop SGDK2 itself too these days (just to make sure anybody has equal ability to compile, develop and debug all SGDK2 code). Once you have that installed, you should be able to load the GAME.csproj file in your project folder (generated when you compile the project) and compile and run the project with Visual C# instead of SGDK2. Then you should also be able to set breakpoints and debug it. I'm not aware of a debugger-only installation. But you may find other features of Visual C# Express 2008 handy if you're considering writing your own custom code for SGDK2 projects. Despite my efforts to make a nice text editor built into SGDK2, Microsoft's IDE still blows it out of the water with features like Intellisense. Then you can just use the IDE to paste your code into the project and view it in pretty colors (maybe make some minor adjustments)

. BTW, you can edit any code you like in the C# IDE, but SGDK2 will only allow you to update code in the source code folder of the project. It doesn't provide any means for you to "paste" in updated versions of generated code or anything like that.
I hope you continue to find SGDK2 interesting and entertaining. We need more people interested in SGDK2 at your level to contribute content (games, templates, ideas, etc)!