The feature you are looking for was added to the Win32 debugger in Delphi 2005:
Delphi 2005 Reviewer's Guide
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A popular debugging feature in Delphi 8 and C# Builder is the capability to select a particular frame from the call stack using the Local Variables dialog box. This feature is now available for the Borland Win32 Debugger.
With the Borland Win32 Debugger loaded, view the Local Variables dialog box. (If this dialog box is not already visible, select View | Debug Windows | Local Variables, or press Ctrl-Alt-L, to display it.) Initially, the values of variables local to the current function that the debugger is in are shown. To view local variables in one of the methods earlier in the call chain, select the method name from the drop-down menu.
(source: embarcadero.com)
In Delphi 7 the local variables view always shows the local variables for the function in which execution has broken on.