Hi,
This error would appear when VisualGDB could not find any zephyr.hex or merged.hex files in the build directory. Normally, they should be produced by the Zephyr build and are used by VisualGDB to include the softdevice into the ELF file that will be loaded into gdb.
Please try checking the C:\Embedded\Embedded\build\nrf52dk_nrf52832\Debug\zephyr directory for *.hex, *.bin and *.elf files.
If the hex file is not created, it could have been disabled via Zephyr settings. Please try checking if the problem persists with a freshly created project. If not, please try comparing the settings between the 2 projects and adjust the initial project accordingly.