CMAKE_BUILD_TYPE == Release should set /Zi (or /Z7) for MSVC++
CMake appears to not turn on PDBs / debugging information for CMAKE_BUILD_TYPE == Release because it has RelWithDebInfo, but the normal release process on Windows still generates PDBs.
Unlike in the usual ELF model, turning on debugging information doesn't affect the size of the generated binaries, or change what gets deployed to the user's machine. You need the PDBs around if you want to be able to consume crash dumps after the fact, or run many kinds of analysis tools like BinSkim.