Yeah I haven't tried on Win10, but D3D9 debug layer is completely broken on Win7 and Win8, and PIX for D3D9 got completely broken at some point too.
For the full experience, you gotta go back to WinXP
I was able to use Direcr3D9's debug layer when I was using windows 7. I had to switch to windows 10 because it (windows 7) couldn't find the drivers automatically for my hardware, which included the network card to get online so I was screwed. I could just use Direct3D9 without a debug layer but that will make it harder to know when something messed up, such as not releasing com objects, devices, surfaces. That's the thing.
OK, well this situation is showing that Windows 10 installs targeting DX11 development are a lot more combersome than you'd think...
According to an MSDN blog it seems that Windows 10 the D3D SDK Layers is an 'optional graphics tool' for Visual Studio; so you either have to enable it from the optional Windows Features or via Visual Studio's optional graphics tools:
After all that, it still doesn't work when using the debugging flag. Am I missing something? I was getting the error with the application verifier checked off and it installed the windows 8 SDK. I'm not sure what else to do to get this to work using the debug layer. I guess getting windows 10 as soon as it came out was a bad idea....(I heard the risks but I still downloaded it when they offered it for free.) Not really sure where to from here.