Hi,
Thanks for reporting this. We have investigated it and it looks like the behavior for missing source paths has changed in a recent VS update. The file path actually comes from the debug symbols in the libraries on Raspberry Pi and it indeed does not exist on your machine. The previous VS versions would ask for the path of the file, but it looks like the latest VS build shows an error instead.
We have addressed it in this build: http://sysprogs.com/files/tmp/VisualGDB-5.4.10.2623.msi
VisualGDB will now report frames referencing non-existing frames as assembly-only (you can override this via Tools->Options->VisualGDB->Common->Debugging->Hide Missing Source Files).