I've now got help from Embarcadero Support, and it turns out ot be a bug in rmtdbgXXX.exe which doesn't convert extended characters properly. So if you are logged on to the machine running RAD Studio with a username which contains some extended characters, then this will create a subdirectory to the scratch-dir with a directory name consisting of the username plus project name. This is where conversion fails so that the debugger can't find the symbol file. This has been logged as RS-63795.
But there is a workaround:
1) in the IDE go to Tools | Options | "Environment Options" | "Environment variables" | "System variables"
2) select USERNAME and Add Override
3) change the IDE's "local" username to a string without any extended chars
4) and the IDE will then pass THAT name over to PAServer and it will not cause rmtdbg the problem, and you do not need to create a new user on the machine.