You may be confused by the fact that debug .dcu's is not a debugger option, but a compiler option.
Is the compiler the one which generates and includes the symbols required to debug inside the Delphi RTL/VCL.
The debug DCUILs (.NET) or DCUs (Win32) contain debug information and are built with stack frames. When this option is checked, the compiler prepends the debug DCUIL/DCU path to the unit search path specified in Debug Source Path on the Directories/Conditionals page.
The option is under the compiler options in each project, in:
Project\Options\Compiler\Debugging\Use debug DCUs
Note I really don't have BDS2006 right now, the closest version I have is BDS2007, but AFAIK the option is named the same.
