Não há mecanismo embutido para manter a linha centralizada, mas esse conselho faz o truque para mim:
(defadvice gud-display-line (after gud-display-line-centered activate)
"Center the line in the window"
(when (and gud-overlay-arrow-position gdb-source-window)
(with-selected-window gdb-source-window
; (marker-buffer gud-overlay-arrow-position)
(save-restriction
(goto-line (ad-get-arg 1))
(recenter)))))