Normally, the sdkconfig.h file should be handled by the ESP-IDF build system itself. The only advice we could give is to try creating a project based on GNU Make instead of CMake (it uses a different set of build scripts) and if it doesn’t work either, check if the problem can be reproduced by building from command line.
If it doesn’t work from command line either, please check with Espressif – it might be a bug on their side. If it works when built manually, but fails under VisualGDB, please let us know both build command lines and we will investigate.