Hi,
Most likely, you are using the Linux or Embedded license that does not support custom build steps (see this page for the full list of custom features).
You can find out the used edition via Help->About VisualGDB or upgrade it at this page.
You might be seeing the Custom edition GUI on other machines because the trial there has not expired yet (all VisualGDB features are unconditionally available during the trial period, even if a valid key has been entered).
Finally, you might be able to customize the build without the VisualGDB’s GUI by tweaking the Makefile, although using the Custom Steps GUI should be usually much more convenient.