>We have a project .PJX, with the .DBC included in the project and compiling to exe, when we distribute the exe to a client, do we have to copy the .DBC physically onto the client pc or does the .dbc inherently already present inside exe ?

No, it doesn't. However, it may cause problems down the line.

e.g., If there is a power interruption, tables may get corrupted and not be able to find their DBC. To fix this, the DBC files would need to be there.
You could copy them over, fix it, then delete them.
Also, if you need to make data structure changes that wouldn't affect the EXE (e.g., make a character field wider), you would just want to update the structures in the client's environment, and not rebuild the EXE and send them a new one. For this, too, the DBC files must be present on disk.