The VisualGDB project templates come from the original devices SDKs provided by the device vendors. As soon as ST includes the Azure RTOS project templates into their SDKs, our BSP will include them as well.
Based on what we could tell, the Azure RTOS integration has been moved out of Beta status, but is still somewhat experimental, only supporting a few select devices, and is not a part of the mainstream SDKs, requiring a separate downloadable package.
Until it is included in the regular SDKs, we would advise using the STM32CubeMX workflow together with the downloadable package you linked. As the project generation will be handled by the STM32CubeMX tool, there is no need for any special support for it on the VisualGDB side.
We will be happy to point out the differences between different RTOSes and explain the level of integration offered for each one. However, it looks like your trial period has expired. Please let us know the email associated with your license key so that we could check your support status and we will be happy to provide further clarifications.