As far as I know Pelle still use the CodeView format with some extensions, not sure about COFF (if it is fully M$ COFF).
Maybe is is not fully compliant. On the other way they are fully working with Pelle debugger, so there is no strict requirement to be compatible with other debuggers (conseguentially to be compatible with DBGHELP).
EDIT:
It uses only CodeView. If you link with only COFF selected no symbol, unless globals, nor source is showed.