MPLAB X IDE : Can we get “console like” output using dsPic

You have to set the configuration bits. Near the end of the device's header file (line 5880 for dsPIC30F4013) is a listing of all the device's configuration bits that need to be set or cleared to ensure proper operation of the device, as well as code comments for how to do it.

For example:

_FOSC( XT & CSW_FSCM_OFF )  // Configure for external XT crystal oscillator, turn off clock switching and monitoring

The oscillator and watchdog timer configurations are very important.

EDIT: In your edited post you tried using the phase-locked loop option for the oscillator. You have to add the following code in your main routine in order to use an external oscillator + PLL:

/*
 *  Set up the PLL for full 60 MIPS operation (dsPIC33EP512MU810)
 *
 *  Fcy = Fin*K/2 --> 60MHz = 8MHz*K/2 --> K = 15
 *  K = M/(N2*N1) --> 15 = M/(N2*N1)   --> N2 = 2, N1 = 2, M = 60
 *  Fcy = 8MHz*15/2 = 60MHz
 *
 *  p. 164-171 datasheet
 */
void configPLL()
{
    PLLFBDbits.PLLDIV = 58; // M = 60
    CLKDIVbits.PLLPOST = 0; // N1 = 2
    CLKDIVbits.PLLPRE = 0;  // N2 = 2
    OSCTUN = 0;
    // Writing to the OSCCON register requires a special unlock sequence
    // Using a compiler built-in write instruction to handle this
    __builtin_write_OSCCONH(0x03);  // Select primary oscillator with PLL   
    __builtin_write_OSCCONL(0x01);  // Request oscillator switch
    while (OSCCONbits.COSC != 0x3); // Wait for the PLL to lock
}

Your question is so broad that it will likely be closed soon, so I don't want to spend much time on this.

However, briefly, the main PWM "value" is its duty cycle. This is changed by writing a different value into the appropriate duty cycle register. To figure out what that is and what restrictions there might be, you have to look in the datasheet to see what peripherals your particular PIC has, then read about the PWM module in detail in the Family Reference Manual. The datasheet will tell you which chapter is relevant for the particular implementation of the peripheral in your PIC.

There are two types of modules that can produce PWM outputs natively. The bare PWM modules are called "output compare". There are also more fancy PWM modules meant for more specific applications. These are generally called something with "PWM" in their names, like "motor control PWM" for example.