R – Why does Visual Studio copy system assemblies to output folder

Menu Tools → Options → Projects and Solutions → VC++ Project Settings → Build Timing should work.

From MSDN:

A program database (PDB) file holds debugging and project state information that allows incremental linking of a Debug configuration of your program. A PDB file is created when you compile a C/C++ program with /ZI or /Zi or a Visual Basic/C#/JScript .NET program with /debug.

So it looks like the "issue" here (for lack of a better word) is that some of your DLLs are being built in debug mode (and hence emitting PDB files), and some are being built in release mode (hence not emitting PDB files). If that's the case, it should be easy to fix -- go into each project and update its build settings. This would be the default scenario, if you haven't done any tweaking of command line options.

However, it will get trickier if that isn't the case. Maybe you're all in release or debug mode. Now you need to look at the command line compile options (specified in the project properties) for each project. Update them to /debug accordingly if you want the debugger, or remove it if you don't.

Edit in Response to Edit

Yes, the DLL files "know" that they have PDB files, and have paths to them, but that doesn't mean too much. Copying just DLL files to a given directory, as others have mentioned, won't clear this issue up. You need the PDB files as well.

Copying individual files in Windows, with the exception of certain "bundle"-type files (I don't know Microsoft's term for this, but "complete HTML packages" are the concept) doesn't copy associated files. DLL files aren't assembled in the "bundle" way, so copying them leaves their PDB file behind.

I'd say the only answer you're going to have is to update your process for getting the DLL files to those central locations, and include the PDB files ... I'd love to be proven wrong on that, though!