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.