Note that you can always debug you own code, by attaching Visual Studio to your editor & game process or building the editor & game from VS directly, and adding breakpoints in your code. But the engine debugging symbols allow you to debug the the engine source code itself (you should also download the engine source code in the list of modules, but it is much smaller than the rest, and will be available at C:\Program Files\Epic Games\UE_4.XX\Engine\Source).