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AFAICT, even on Windows, defining DEBUG does not change
anything whatsoever. It is only when you define _DEBUG that
things start to change.

I'm not sure whether this is a bug or a feature: If you just
want to enable debugging in your application, just don't
define _DEBUG. Notice that MSVC does that for you unless you
tell it not to. AFAICT, _DEBUG is what Microsoft uses in the
libraries to indicate "enable all debugging code that you
have". So Python enables Py_DEBUG.