VisualGDB 5.5 Preview 1 could indeed show the VisualGDB Build window for non-VisualGDB builds. We have already fixed it in our development branch (you can try this build: VisualGDB-126.96.36.19972.msi).
The GDB Session window should only appear for VisualGDB-based debug sessions. If not, please try closing it manually and describe the exact steps to reproduce the issue from opening Visual Studio to triggering the problem. We are asking for this because the behavior is likely caused by some rare combination of settings or actions and we are not able to guess it, or suggest anything meaningful without knowing what exactly you are doing to trigger the problem.