From the documentation for your toolchain:
The compiler's C7 Compatible (/Z7) option causes the compiler to leave the debugging information in the .obj files. You can also use the Program Database (/Zi) compiler option to store the debugging information in a PDB for the .obj file. The linker looks for the object's PDB first in the absolute path written in the .obj file, and then in the directory that contains the .obj file. You cannot specify an object's PDB file name or location to the linker.
It is not possible to create an .exe or .dll that contains debug information. Debug information is always placed in a .obj or .pdb file.
This doesn't rule out debug information placed into a section of an EXE file by other tools... but Microsoft Visual Studio's C++ tools never do.
For information on placing debug information into OBJ files (possibly contained inside LIB static libraries) instead of a PDB, read the documentation on the compiler option for Debug Information Format