Sorry, those are known limitations of the Keil importer. It indeed only parses the primary target from the project file, and then creates both Debug and Release configurations from it. That said, you can easily create additional configurations via VisualGDB Project Properties and then adjust the preprocessor macros for each configuration separately.
VisualGDB does not include a special ARM simulator. It is compatible with the existing ones like Qemu, however that would require non-trivial setup on the Qemu side and we would generally advise against it unless you are prepared to edit Qemu source code resolving various issues.
The Keil Components are not yet imported by the project importer, but once you configure them, they should not be reset. If this happens, please try comparing the [platform name].xml file in the project directory with the last version that had the Keil Components working correctly. If you could share both files, we might be able to tell what is going on and suggest a workaround.