Hi,
Indeed, neither Visual Studio nor VisualGDB supports syntax highlighting in the assembly files. That said, it does not affect debugging. When you set a breakpoint in a source file, VisualGDB simply issues a -break-insert command directly to the gdb debugger, that in turn interprets the debug symbols and translates it to a physical breakpoint at a specific address. The process of translating source file locations to memory addresses is entirely done by gdb and is not affected by any IDE features. You can double-check the commands issued by VisualGDB to gdb via the GDB Session window.
If the breakpoints are not working, the assembly files could have been built without debug symbols, or some macros inside them might be interfering with the way gdb handles breakpoints.
You can also try using the Disassembly view in Visual Studio. It takes the assembly dump directly from gdb and knows the exact address of every line displayed there. Hence, breakpoints set via the Disassembly view will work regardless of the symbol issues.