Thanks a lot for allowing me to access your computer, that did the trick! ;-)
Basically, is that VSC is a bit confusing, coming from RAD Studio, on how it handles build configurations, running and debugging.
In short, this shot shows the "selector" of the active configuration you want to run: DEBUG or RELEASE.
Run uses the DEBUG configuration, Run Without Debugging uses the RELEASE configuration.
So whenever you use the commands Start Debugging or Run Without Debugging from the Menu, first, it will build your project with the active configuration selected on the previous shot:
So the commands actually enable/disable the debugger, and the configurations actually enable/disable the debug information. So it may happen that you try to debug a release configuration, which won't produce debug information.
I hope it's clear, please, don't hesitate to ask for any additional information.