Based on what we could tell from the Particle site, their main focus is on the cloud platform. I.e. providing higher-level APIs for centrally managing and communicating to the IoT devices. The on-device debugging (the only part where VisualGDB would come into play) isn’t used very often.
Also the Particle SDK is relatively complex, so properly supporting it by VisualGDB, similar to the nRFConnect SDK would only make sense if it had a much larger use base.
Our best advice currently would be to import the project into VisualGDB as an external Make-based project. You will still be able to build and debug it, although the Makefile contents won’t be automatically reflected in Solution Explorer the way it’s done for nRFConnect.