Currently this scenario is not directly supported, although we plan to add it in one of the next releases.
As a workaround you can use any third-party command-line tool that will display the data coming from a virtual COM port and set VisualGDB to show its output when your program is running. E.g. if your device is connected to a virtual COM port available as COM4, go to VisualGDB Project Properties, Custom Debug Steps page, select “Use the following command to start the console” and specify the following parameters:
Command: cmd
Arguments: /c type COM4
If your board does not include an external virtual COM port chip (e.g. FTD2xx), you will need to use the USB library on the STM32 device to implement one using the STM32 USB interface. Please refer to STM32 examples for a sample Virtual COM port project.