Add in your .dpr ( for example above the begin of the main code) the line:
{$R *.res}
Then build your project.
It will force a resource file (.res) to be created. This also allows you to set the version info in the project options.
Update: I noticed that this ‘bug’ is fixed in Delphi 10 Seattle, or maybe in an earlier version. When I create a new console application, it will automatically have that $R directive.