Hi,
VisualGDB fully supports Segger J-Link via the Segger GDB stub, however we have not specifically tested it with the multi-core STM32H7 devices.
Generally, we would advise simply using ST-Link as shown in this tutorial. It involves a special build of OpenOCD maintained by ST that has been specifically designed to work with the multi-core devices. If you would like to double-check whether J-Link supports this configuration, please contact Segger support. If they can confirm that the Segger GDB stub supports the device you are targeting, VisualGDB will work with it out-of-the-box.