I would look around in the project properties (right click project node) for the one that is not generating pdb files and compare to other projects that are. I'm not really sure which setting it would be, I've never had to do anything special for my projects to generate them on build. But my post build events don't copy any pdb files and I've never had any trouble debugging. ie the mojoPortal.Features set of projects don't copy their pdbs into Web/bin and I've never had any problem debugging them so I'm really reaching for possibilities about what is causing that.
I definitely would check the mojoPortal log under Administration > System Log because if your feature module control throws an error on page load it will be trapped and logged to prevent crashing the page. Depending on where you put your break point it may never hit it in that case.