Hi,
When you are importing 3rd-party projects, VisualGDB indeed cannot automatically guess the include directories and preprocessor macros used for building the project as they are stored in different formats for different project types.
We would recommend simply importing the project via the import wizard and then using the automatic header directory discovery to quickly fix the missing include directories.
You can get a quick overview of the import process in this tutorial: http://visualgdb.com/tutorials/arm/stm32/cube/
Please note that if you are importing a Keil project, you would need to replace the assembly files (.S) with the ones compatible with GCC. STM32 examples usually contain them in a separate subfolder.
If the project still does not build after following these steps, please share the error messages you get and we will suggest how to resolve them.