Hi,
You would need to run the built executable directly from the target’s terminal to see its output there. The setting controlling the output only affects the X11 window forwarding; the regular text output from the program always goes to VisualGDB when debugging it with VisualGDB.
The path on the target depends on whether you are building the code directly on target, or using a cross-compiler. The easiest way to find out is to open VisualGDB Project Properties, click the variables hyperlink in the bottom, and check the value of $(DeploymentPath) and $(TargetPath). Depending on your project configuration, one of these will contain the executable’s path on the target.