I’m running V5.2 and tried to install the ARM-eabi tools when creating a new project and when the toolchain installer is displayed a few seconds later, a dialog pops up that says “The remote server returned an error (404)”. I can’t find a way to install ARM support.
Most likely your VisualGDB is using the old package catalog that refers to an older version of the toolchain that has been removed due to problems with mbed.
Please install the toolchain via Tools->Embedded Tools Manager->Online. This will reload the up-to-date package catalog and install the latest version that includes all the fixes.