Hi,
The GNU Make build system is very old, limited in many ways and does not support many advanced features directly. In theory, you should be able to get them working by patching the Makefiles, however we do not have any examples of it and are not planning to add one.
For new projects, please consider using Advanced CMake or MSBuild. Both work much better than plain GNU Make and have better integration on the VisualGDB side as well.