The bloating can be extraordinary. When you're shipping libraries to discerning customers (programmers, not end users), perception really does matter.
A related issue which is more about the compiler than the operating system is that PDBs with Visual C++ on Windows are much more useful with highly optimized binaries than symbols (either embedded or separate) are with GCC-optimized binaries. This is understandable when you consider the different development cultures, but that doesn't make it any less of a problem for us. :)