On PC (and other of the same class), the debug information is not a separate file, but is stored directly in the .exe (=binary).
Then, the debugger can display the "smart information" without knowing the internals of the compiler, until the debug info is in some common/standard form. This allows using compilers and debuggers of different brands.

The reason why exe files sometimes ARE distributed containing the debug info is, that if runtime error occurs at the customer, it could be possible to get and store quite a lot of valuable information to facilitate discovering of the reason of the error. (I think many of us know the "no error at my workbench, just when at the customer" syndrome).

Of course, with '51 (or any other mcu) it's a completely different story.

Jan Waclawek