Hi,
The main reason it is not done automatically is because the regular STM32 BSP is completely separate from the STM32CubeMX logic, with numerous edge cases.
E.g. it can have slightly different device names, there could be multiple versions of the BSP with different definition files, etc. So instead of trying to guess which file should be imported automatically, we simply made it easy and intuitive to locate the missing file manually via the link in the Hardware Registers window, so our users can choose the exact file they would want to use.
If ST decides to ship the SVD files with the STM32CubeMX SDKs/device definitions, we will definitely update VisualGDB to import them automatically, but for now we would advise simply picking the definition file manually on first run.