Hi,
For ESP-IDF projects, VisualGDB works as a front-end to the regular ESP-IDF build system. I.e. it provides convenient GUI for managing common ESP-IDF settings and tasks, but lets the normal ESP-IDF build scripts handle all the building. E.g. when you add a file to Solution Explorer, VisualGDB would update the idf_component_register() in CMakeLists.txt, but will still let the ESP-IDF handle the actual build, as if you edited the statement manually.
There is no special GUI setting for importing external components made for ESP-IDF 4.4.1 and automatically porting them to work with ESP-IDF 5.0. You would need to manually add them to the project by editing the relevant CMakelists.txt files (see the ESP-IDF documentation for specific instructions), and possibly porting them to the new ESP-IDF 5.0. VisualGDB cannot do this work automatically, but it can make it easier by providing powerful IntelliSense and debugging functionality that will help you navigate the unknown code base faster.