Hi,
Yes, VisualGDB fully supports this layout. If you are planning to continue having the Windows builds, we recommend using the Project->Add Linux Configuration command to add a VisualGDB configuration to all of the projects (if you have multiple project files, we would advise comparing the .vcxproj file before and after and scripting the necessary changes).
If you are no longer interested in maintaining the Windows builds, we would advise creating an Advanced CMake project. It fully supports multiple targets as well has an advantage of sharing common project properties (e.g. build machine, custom steps) between all targets built within the project.
If you have any further questions, please don’t hesitate to get back to us and we will be happy to provide more details.