Hi,
You can configure VisualGDB to use esptool.py to load the FLASH memory even when debugging with OpenOCD. This can be done via VisualGDB Project Properties -> Debug Settings -> Program FLASH using -> esptool.py.
Then, VisualGDB will run the FLASH programming command before starting debugging (on latest ESP-IDF that would be ninja flash) that internally runs esptool.py with the correct settings. You may need to change some project settings in the CMakeLists files to enable the encrypted mode for this command (you can try asking on the Espressif’s forum).
Another option is to disable the FLASH programming via VisualGDB Project Properties, and run explicitly esptool.py via pre-debug steps or custom actions (requires Custom Edition).