Hi,
Most likely you are using a slightly older build of VisualGDB (the latest stable v5.4R12 build supports checking out the Arduino core). If you are using the R12, feel free to post the screenshot of the menu with the missing item and we will try to suggest the possible cause.
You can also clone the repository manually by running the following command in the “components” folder of your project:
git clone --recursive https://github.com/espressif/arduino-esp32.git arduino
This will have exactly the same effect as using the command from the menu.