In VisualGDB 5.4R2 and earlier, the settings derived from the CPU definition override the settings in the project properties. We have reversed this behavior in the upcoming R3 (you will be able to override the CPU settings via the regular MSBuild pages), however it should not be critical in this case case the STM32 devices do not support the ARM (non-THUMB) instruction set.
No problem. Please refer to the STM32 documentation for the description of the instruction sets supported by the STM32 devices and to the GCC documentation (and ARM Cortex core documentation) for differences between Thumb-1 and Thumb-2.