Packages have their own settings for debug info.
You can
A) Open each package (like LCL) and enable debug info in each packages option
B) Menu: Tools > Configure Build Lazarus
Add "custom option" -gw3
This will affect most packages (like LCL, LCLBase)
C) Project Options -> Additions and overrides
Add new override for all targets: *
Then add custom option -gw3
In each case, that will NOT include RTL and FCL.
For those a custom FPC build in required.