In my D3D 11 projects, I always add
#if (defined(DEBUG) || defined(_DEBUG))
deviceFlags |= D3D11_CREATE_DEVICE_DEBUG;
#endif /* (defined(DEBUG) || defined(_DEBU
The debug message is a little misleading. For Windows 10, the Windows SDK no longer installs the Direct3D debug layer. Instead, you need to enable a Windows Optional Feature called "Graphics Tools" which includes the debug layer. Installing VS 2015 and the Windows 10 SDK on Windows 10 should automatically enable this feature as well, but you can do it directly.
(a) Settings panel -> System -> Apps & features -> Manage optional Features -> Add a feature -> Select "Graphics Tools"
(b) from a admin command-line prompt:
Dism /online /add-capability /capabilityname:Tools.Graphics.DirectX~~~~0.0.1.0
See this post.
Note that when you upgrade from Windows 10 (10240) to the November 2015 update (10586), you may need to re-enable the Graphics Tools optional feature.