Merging gdb-index into the executable

The GDB manual says, after describing the "save gdb-index" command:

     Once you have created an index file you can merge it into your symbol
  file, here named `symfile', using `objcopy':

       $ objcopy --add-section .gdb_index=symfile.gdb-index \
	   --set-section-flags .gdb_index=readonly symfile symfile
  ...
     There are currently some limitation on indices.  They only work when
  for DWARF debugging information, not stabs.  And, they do not currently
  work for programs using Ada.

So: is this feature supposed to work with MinGW executables as SYMFILE
above?  I tried, but the result of the objcopy command is an
executable that Windows refuses to run, saying that it's "not a valid
Win32 application".

If this works only on some platforms, I think we should say something
about that in the manual.

TIA