I'm not aware of a feature to include your source code directly into your EXE. Microsoft does have one thing that may be interesting to you:
Source Server. A Source Server setup basically adds instructions into your PDB files on how to get the specific revision of source code that was used to build your binaries. So, I'm not sure if Source Server works without a Symbol Server (easy to setup) and a version control system. But, I think it sort of gets at what you're asking for.
Now that I think of it, if you were really intent on having source code bundled with your exes you might be able to create a hack to do it. First, you'd add a build step, or possibly just an RC file modification to pack your source code into your exes' resource sections. Then, you'd modify the Source Server Perl scripts to treat your exes' as your custom version control system. You'd still need to have access to your PDBs, but attaching a debugger to your running executable should cause it to open the PDBs. Which would trigger them to request source code from your version control system. Which would "check out" your code from your exes' resource sections.
Figuring out the Source Server Perl scripts would probably be the hard part. And, the solution would be totally Windows specific. Although, I believe that Linux also has some support for setting up a source server as well.