This is an OpenJDK 8u specific problem it seems. I was not able to reproduce it with OpenJDK 11u or JDK 16 (current head).

When configuring a build with the --with-native-debug-symbols=external option, the resulting j2sdk-image and j2re-image directories don't contain external debuginfo files for binaries. Debuginfo files for shared libraries are there.

$ bash configure --with-native-debug-symbols=external ...
$ make images
$ find build/linux-x86_64-normal-server-release/images/j2sdk-image/ -name \*.debuginfo | grep java
build/linux-x86_64-normal-server-release/images/j2sdk-image/jre/lib/amd64/libjava.debuginfo
build/linux-x86_64-normal-server-release/images/j2sdk-image/jre/lib/amd64/libjava_crw_demo.debuginfo
$ find build/linux-x86_64-normal-server-release/images/j2re-image/ -name \*.debuginfo | grep java
build/linux-x86_64-normal-server-release/images/j2re-image/lib/amd64/libjava.debuginfo
build/linux-x86_64-normal-server-release/images/j2re-image/lib/amd64/libjava_crw_demo.debuginfo

The intermediary location where files seem to get copied from have launcher/binary debuginfo files:

$ find build/linux-x86_64-normal-server-release/jdk/ -name \*.debuginfo | grep java
build/linux-x86_64-normal-server-release/jdk/objs/javac_objs/javac.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/libjava_crw_demo/libjava_crw_demo.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/javah_objs/javah.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/javap_objs/javap.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/javadoc_objs/javadoc.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/libjava/libjava.debuginfo
build/linux-x86_64-normal-server-release/jdk/objs/java_objs/java.debuginfo
build/linux-x86_64-normal-server-release/jdk/bin/javac.debuginfo
build/linux-x86_64-normal-server-release/jdk/bin/javah.debuginfo
build/linux-x86_64-normal-server-release/jdk/bin/javadoc.debuginfo
build/linux-x86_64-normal-server-release/jdk/bin/javap.debuginfo
build/linux-x86_64-normal-server-release/jdk/lib/amd64/libjava.debuginfo
build/linux-x86_64-normal-server-release/jdk/lib/amd64/libjava_crw_demo.debuginfo