Hi,
VisualGDB itself does not use .pdb files and you do not need one either, this is just a standard message from Visual Studio meaning the debug symbols for libc are not available.
You are probably getting this message because you are stepping into libc functions. However as libc is a system library it is not built with debug symbols as system libraries are usually optimized release versions. If you wish to step into libc, then you need a debug build of libc that has the debug information available. If you wish to do so, then you may need to build such a libc yourself and switch it out with the libc that comes with your Linux.
As for using a modified Raspberry PI toolchain, have you resynchronized the sysroot of the toolchain to make it a bit more compatible? You can resynchronize the sysroot automatically on the Makefile settings page in VisualGDB Project Properties or manually if you are using your own makefile. This however will not affect the above issue, the same holds for most system libraries on Linux systems. Feel free to post more information on the exceptions you get and the system you are really targeting, so we can help you more with compatibility issues.