Hi,
Sorry for the confusion. Unlike the GCC toolchain where VisualGDB would download all the packages automatically, using the Keil toolchain relies on the Keil pack manager to install the necessary packs.
Normally, if you can create a basic project for the same device using the Keil IDE, VisualGDB will find the related files as well (please make sure you use VisualGDB 5.5 Preview 7). If not, please let us know where the Keil pack files are located (e.g. the GPIO HAL driver) and we will help you configure VisualGDB to discover them as well.