The only real difference between the Debug and Release builds in Visual Studio are that in Debug mode it turns on the directives anim cobidy".\bin\x86\Debug\" by default. They also use a different output folder name. You can actually just use either the Debug or Release build if you would like and there is a checkbox on the COBOL tab for Compile for debugging which will turn these directives on or off.
You can debug in either Debug or Release configuration as long as the Compile for Debugging option is checked.
The deployed .EXE/.DLL is in no way dependent on the .idy file as this is only used by the debugger.
It is recommended to compile without ANIM for production software because ANIM turns off certain optimizations that could affect performance but that really depends on your application.
Thanks.